Funny to stumble upon this thread here...I used to listen to a lot of the 4AD bands when I was in high school in the 80s, and saw Dead Can Dance play at Berklee in Boston in 1990 (the same month as a Cocteau Twins show I also saw), around the time they were moving from their original, darker sound into more medieval- and classical-influenced territory. It was an interesting show (particularly their cover of Sinead O'Connor's then-hit "I Am Stretched on Your Grave," sung by Brendan rather than Lisa).
Just a minor correction/clarification for those interested: "This Mortal Coil" is not the title of a compilation album, but rather 4AD head honcho Ivo Watts-Russell's band/studio project--really just a loose collective of musicians connected to the 4AD label and other similar labels. Their first release was a 1983 12" titled "Song to the Siren" (a cover of the Tim Buckley song)--members of Cocteau Twins played on this one, but not DCD. "It'll End in Tears" was the LP released in 1984; "Filigree & Shadow" was a double LP released in 1986; and "Blood" was an LP from 1990, I think. After that I lost track with most things 4AD. Note that a lot of TMC's songs are, of course, covers--of Tim Buckley, Big Star (the third album), Colin Newman (formerly of the classic punk band Wire), Talking Heads, Gene Clark, Judy Collins, Van Morrisson, etc.
Joshua