Board Thread:Lore Discussion/@comment-24267938-20131007200342/@comment-7153552-20131007203014

Boethia has been both male and female in form in the past, good ole' Mora is a squid-ball-thing, Jyggy is a crystaline structure. ..

They are called Princes or Lords simply because, like our real-world application of grammar, Tamriel seems to be a masculine society. With that in mind, and the fact that they have no true gender, they are given a blanket title. Calling Azura a Daedric Princess or Queen or Lady wouldn't be out of order, it would just sound funny is all.