The Elder Scrolls XIV: Good? Bad? I'm the one with the Thu'um!

[Caelestion]

The others only (not) getting your soul after your death can be easily explained away. but what's Nocturnal's excuse when you straight-up pledge your soul in return for becoming a Nightingale? (A Nightingale's soul is bound to Mundus in her service until she chooses otherwise.)

If your soul was already sworn to Akatosh or part of Talos, one can only assume that Nocturnal was too busy gloating about new souls to notice that one was far beyond her reach.

As for the Daedric quests, you could do quests for all the Princes except Mehrunes Dagon in Oblivion and only for the seven Good and Bad Daedra in Morrowind. None of them involved giving up your soul though, except of course the shenanigans in the Shivering Isles DLC.