Alduin was prophecised to be destroyed by the Last Dragonborn and sent by Akatosh for this purpose. Alduin failed in his duty of ending the world and bringing in the new one and so this is his punishment. He doesn't even technically die in Skyrim, merely defeated, as he is the only Dragon you kill whose soul you do not absorb.

The LDB is kind of tailor-made to destroy Alduin, the same can't be said for Daedric Princes. Even in ESO when you "kill" Molag Bal with the power of both Meridia and Akatosh he is still alive but merely diminished in power for a time. Even the lesser Daedra don't seem to truly die but instead return to the Chaotic Creatia where they are reshaped or reformed.

In Bloodmoon, Hircine doesn't even let you fight his true form in the name of fairness. You only fight an aspect of your choosing and even then they're one of the strongest entities in the game.

Here's an example of the Oblivion MC attacking Sheogorath in their own realm as well.