User blog comment:Jimeee/Dragonborn DLC trailer released./@comment-24.117.22.179-20121108230920/@comment-3492791-20121109034321

I is theorized that lesser Daedra can be killed within their own realm, while on Nirn all "killing" them does is send their essence back to Oblivion. The reason that this is simply a theory is that no one has really been able to go to Oblivion and do this sort of research, with most of the information coming from captured Daedra themselves, making the information not wholly reliable.

Daedric Princes however can not ever be "killed" as their essence can in no known way be destroyed. The Aedra gave up this sort of divine protection when creating Nirn, somehow trading it for the power to create. The Aedra are still just as powerful as the Daedric Princes, but can be killed. The Daedra can't be killed, but lack the power to create.

Btw, I'm pretty sure you mean Lorkhan, not Arkay.