They do now!
Seriously though, I think they would, phyical bodies mean physical laws so they probly do have the same bodily requirements and functions as we do. Now, for the Lore lovers. The dremora are a efficent people, they have their own armor, robes and even language and classes. It would make sense to them that when one wanted to go for a 'loo business' while in a counsel room of war instead of leaving the tower and marching out of the city to find a pool of lava or even to point ones bum out a citadel window, that indeed yes, there would be various bathrooms located in each and every tower so that they wouldn't take over a hour on a toilet break.
So there it is, my version of the 'Lore'
Even though they are magical beings, they still have a physical body and the physical body laws still are applicable.
Oh and my toilet is sittable, who knows what evil mischief i may or may not add?