I read in UESP that the nerevarine went on an expedition to Akavir near the end of the third era(the Oblivion Crisis) and hasn't been heard from since. I would imagine that we may get a DLC that involves Akavir since that's where the Blades are believed to have originated from. Maybe we'll see him alive or dead, who knows.
The Nerevarine left before that... Or didn't, it's a rumor. One that exists to explain why the Nerevarine is never heard from again. I doubt we'll see that character again.
That's the point of TES, all these heroic little people out there that save the world dissapear, they change they go bye-bye never to be heard from again. The same will happen to the Dragonborn of Skyrim.
As for the entire discussion about SI:
Yes, the CoC did do Shivering Isles, this is beyond doubt. All quest lines in games are always done and at least the main quests are done by the same person. Does this make the CoC Sheogorath however? Well that's a bit harder to say, perhaps Sheo came back after some time. Perhaps Sheo simply took over moving the CoC out of the equation, perhaps the CoC slowly grew into the role and became Sheogorath in the process. Whatever, take your pick it can go any of those ways and more.