It is very simple. Azura wants to take over your trust. Molag Bal wants you to obey. And both are bad because they wants all of this regardless of your opinion or even desires. Reliance and submission aren't bad per se. They become evil as violation against soul or mind of person. Take Sanguine for example. He wants you to feel joy even euphoria. Seems to be good guy. Right? But he really isn't. Yes. If you want to feel joy by any means then he is your friend. But if you are not?.. Blind pursuit of pleasure can ruin lives and Sanguine will force you to do exactly this. By this logic why would you follow some crazy Molag Bal? Because you want obey and Molag Bal will accept you and your desire no matter what. Same old story with Dagon. He will help you to satisfy your anger, hate or rage. If you want to see all things you can't endure to be destroyed then Mehrunes is The Answer.