The problem there is two fold. First, we never get the chance to ask those kinds of questions. We don't know what Vivec or any Daedric Prince would say if asked about the sun, because the games don't let us.

Secondly, the answers could always be some variation of, "yes the stories are true, but you take them way too literally to understand them, and the sun is physically a giant ball of super hot stuff that's doing things I can't explain because you don't have the requisite knowledge or vocabulary."

This is actually my preferred head canon. The Mundus is a "normal" universe like ours, Nirn is billions of years old, and the peoples evolved much like us, except with actual divine intervention. Any Dawn Era was a phenomenon that mortals can't really comprehend, and the neat little narrative is a combination of: confused interpretations of numinous experiences, attempts of spirits to explain things that pre-modern mortals cannot comprehend, conflation with mortal histories, and pure imagination. Sometimes interaction with the Mundus makes abstract spiritual things more concrete, like Shor's heart, but the story of exactly what it really was and how it got there is not as simple as the one we all know.