Board Thread:Lore Discussion/@comment-85.87.179.48-20130620091301/@comment-71.212.62.221-20140630094010

Worshipping Anu would be impractical, because Anu is too complex of a concept to really be specifically worshipped. It's much easier to just stick with the Aedra and Daedra worship. I believe Sithis is worshipped by particular cults such as The Dark Brotherhood as more of a concept than something they firmly believe in exists and have physical representation of. There is no shrine of Sithis (other than the skull on the door to the santuary, also conceptual) that dictates exactly what Sithis is, because Sithis is a persona fitted to The Nothing of the Universe.