the Chaos gods are a manifestation of thought,

All the Gods, they have created and exists as concepts/ideas/emotions itself and aspects of all realities/Aurbis itself, exists beyond concepts of Space and time, Existing in timeless world where everything happen all at once, completely immortals.

Aka (Time) Lorkhan (Space) Mara (Love) Sheogorath (Madness) Namira (Void) Mehrunes Dagon (Destruction, Revolution, Change and Ambition), Mora (Fate and Disteny), Arkay (Life and Death), etc...

Other example is Mehrunes Dagon is Destruction, Revolution, Change and Ambition itself.

He'll there's even some lesser Daedra that exists as pure thoughts and others exists as pure potential/possibility.

all of them are not physical in reality, but some are pure energies, others are pure thoughts and potential/possibility, and other are concepts too.

the daedric princes have souls and bodies therefore can be destroyed.

Ah what? No, even [lesser Daedra don't have souls ₩