does the Dialogue in Dragonborn change if you have done Discerning the Transmundane? or visa-versa?

I remember in Oblivion, the quest for Sheogoraths shrine and entirely new dialogue if you did shivering isles..

Yep, you get different dialogue in both depending on how far you are in either quest.

Not sure about the dialogue. but Hermaeus Mora's appearance changes.