At Laeloria, Azura will say "Approach, mortal." through her shrine and ask you to speak to her. She will tell you that you must enter Coldharbour through Laeloria and retrieve Culanwe's bones so that her torture under Molag Bal may end.
In Pariah Abbey, Azura will speak to you through her statue:
"Rejoice, mortal. You stand in the presence of beauty and terror, between pale light and long shadows. I am Azura, Queen of Dawn and Dusk. I have a task for you."
Rhea told me that Daedric forces abducted your oracles. "She speaks the truth. The halls of Oblivion fill with whispers. Collusion. Conspiracy. I believe some of my fellow Princes seek to blind me. They know how much I treasure my servants. They would steal what I hold most dear."
Can't you just rescue them yourself? "I cannot. The Princes' compact with Sotha Sil binds my hands. You must be the vessel of my wrath. I sense my oracles, adrift in the void. Imprisoned in pockets of Oblivion―hidden dimensions, only accessible through Nirn. You will rescue them."
How can I open these pockets of Oblivion? "My enemies servants likely use Void Keys. Powerful charms, capable of tearing small holes in the veil of Oblivion. They require Daedra essence to function. Slay any Daedra you find and claim their essence. A charged Void Key will open any pocket."
How do I collect Daedric essences? "Daedra cannot be killed, only banished. When you strike a mortal blow, their essence returns to Oblivion. The crystal Rhea gave you captures that essence before it escapes. A prison, of sorts. Defeat any Daedra and the crystal will do the rest."
You mentioned a compact with Sotha Sil? or Can you tell me more about this compact with Sotha Sil? "Long ago, my vulgar peer, Molag Bal, manifested himself in the town of Gil-Var-Delle and destroyed it utterly. In response, the Dark Elf magus, Sotha Sil, gathered eight of the most powerful princes to a summit in Coldharbour."
What was the purpose of the summit? "The Tribune persuaded us, through a private bargain, to cease meddling in mortal affairs directly. An amusing request from someone who fancies himself a god. Now, we exert our will through... intermediaries. In truth, I prefer it this way."
What about the other Daedric Princes? Aren't there more than eight? "Many more, but the Princes bound by the Coldharbour Compact stand above their lesser kith. None can match my beauty or Molag Bal's horrors. Dagon makes an art of destruction. On it goes. Of course, outward weakness often shrouds hidden power."
If you're so powerful, how did Sotha Sil convince you to join the compact? "Such matters are better left undisclosed. Perhaps you can ask Sotha Sil about it. If you can find him, of course."
How will I find your oracles? "While you hunt Daedra and gather their essence, my ward, Rhea, will conjure up visions."
Visions? "Yes―of her friends' suffering. Such visions might grant her a glimpse of where the other oracles are hidden. There will be pain, undoubtedly, but she possesses a rare and terrible gift. True insight requires sacrifice."
"Why do you linger, mortal? Go forth and destroy any Daedra you find. By the time you return with their essence, Rhea will know where to find my captured oracles."
Once the oracles are rescued, Azura can be spoken to once again at her statue:
"The flock returns to the shepherd. You have earned my favor, mortal, but the task is not yet finished. These craven fools that accost my children must suffer. I trust that Rhea's vision revealed their location"
Rhea saw a swampy ruin, tucked beneath a lizard's head. "Such a place exists in Shadowfen―west of an encampment called Hei-Halai. Look for a great serpent's head, carved out of stone. Our enemies lurk in the caves beneath it. Go there and slaughter these beasts. My oracles will join you soon."
"Time is short. Go to the caves west of Hei-Helai and destroy these Daedric conspirators. My children suffered once. They will not suffer again."
After Rhea, Muz-Shah, and Kanzin perform the ritual in Cold-Blood Cavern, Rhea will be possessed by Azura and have the following conversations:
"Rejoice, champion. You now speak to Azura, Queen of Dusk and Dawn."
What have you done to Rhea? "I glorify her body and make a vessel of her mind. Do not trouble yourself. She will return, in time. Your true concern is these visions. My oracles perceive a holocaust, child. A Daedric storm the likes of which your mortal world has never seen."
What should we do? "We wait... and listen. Patience. A difficult concept for mortals, I know. Such short, beautiful, brutish lives you lead. For now, Dyzera lays dead and my oracles breath free air. That should be enough for you."
So you can't tell me any more about Rhea's vision or this Daedric storm? "Rhea sees but a sliver of what's to come. Even now, Princes unbound by Sotha Sil's compact move against Nirn. I retired to Moonshadow to prepare. We'll meet again soon, in a distant land. Perhaps sooner than you'd like. Until then, walk in twilight."
"Mortal, you stand above the sealed ruins of Laeloria. Within is a gateway to Coldharbour, where my priestess Culanwe suffers at the hands of Molag Bal. Her pain is so great, that it has torn a hole between worlds. The injustice must end."
What are you? "I am the Daedric Prince of Dawn and Dusk, who weeps for Culanwe's suffering. I am the Mother of the Rose, who sealed Laeloria away from your world. I am Azura, mortal. And I would have you end Culanwe's endless torment."
How can I do that? "Long ago the wizard Vastarie came to Laeloria. She sought to end Culanwe's suffering. But Vastarie failed, and was lost. Go to Vastarie's tower. Retrace her path to Laeloria. And mortal, set Culanwe's bones to rest."
I will. "Vastarie kept careful records of her struggle to pierce of a Laeloria seal. They remain scattered in her tower. Find them. Use them to breach the seal and recover Culanwe."
What can you tell me about Vastarie? "A powerful wizard who built the tower behind you. She studied Laeloria for years, always patient, until finally she found a way through. But despite her preparations, Molag Bal's servants overwhelmed her companions. She was forever lost."
If you sealed Laeloria, why not open it for her? "Laeloria is the mouth of a bottle that floats through Coldharbour. My seal is the cork. Should I release the seal, Molag Bal's servants will pour into Laeloria until they have nowhere else to go but here. Vastarie found a way to slip past the seal. As must you."
Who was Culanwe? "Culanwe was the most beloved of my servants. Her voice bent the world to her will, yet she used her power for selfless works. Until she was taken to Coldharbour. Molag Bal made her song of pain last millennia. But in his distraction, you will recover her."
Once you return from Coldharbour, you can interact with the Azura Shrine again:
<A quiet stillness hangs over the shrine, but you feel a sense of anticipation.>
<Place Culanwe's Bones before the Azura Shrine.> "Culanwe. Beloved of the wild ones. My priestess returns from the clutches of Coldharbour at last."
Vastarie remained in Coldharbour to send me here. (If Vastarie stayed behind) "So I have seen. Another sacrifice asked of one who has already lost so much. Do not mourn her, mortal. There is hope for Vastarie yet."
Is she safe?
Vastarie is here, as well. (If Vastarie traveled with you) "So I have seen. A mortal has managed what the eternal dead could not.
Is there anything more I can do? "Much, when it is time. You have taught humility to a Daedric Prince, mortal. Tread carefully, for he will attempt to exact his revenge. Now, go with my blessing. When I have need of you, you will know."
<The shrine is quiet, empty of whatever power flowed through it.>