On another level, per some interpretations of the 36 Lessons of Vivec, the implication is that Dagoth Ur somehow achieved an unspeakably dangerous middle ground between CHIM, Amaranth and Zero-Sum where he exists in a godlike state because of his awareness of Anu's dream, but he lacks the ability to maintain his individuality and exist within it like someone who has achieved CHIM, and he hasn't simply faded into the Dream like someone who Zero-Summed.
However, you won't see that side in your interactions with him until you attack the Heart of Lorkhan, the source of his powers. It's justified, however, because the tools are required to unbind the heart and actually kill Dagoth Ur. If the player were to be slain, Dagoth Ur would then have all the tools necessary to tap into the heart once again, allowing him to activate Akhulakhan and possibly take over the world.
The Nerevarine brings the Wraithguard, a magical gauntlet required to handle the tools of Kagrenac, to Dagoth Ur's lair in order to sever his (and the Tribunal's) ties the Heart of Lorkhan which is housed there.
MacGuffin Delivery Service: A rare Justified example.
