The death of Mehrunes Dagon shows otherwise.
Are you talking about the ending to Oblivion? He wasn't killed; Martin simply drove him out of Mundus and back into Oblivion. Hell, he reappears in Skyrim.
As for Sheogorath in Shivering Isles, he transformed back into Jyggalag.
A voice speaks from his statue, it may not be the same Dagon but another daedra in his mantle, Sheogorath style. Martin says that "it takes an immortal to kill an immortal", hence the Akatosh thing.
Sheogorath became Jyggalag who, when defeated, left to wander the void of Oblivion.
Hence, it's possible for a mortal to defeat a Daedra but not to kill one, while an Aedra can.