Unless someone else became the champion of Cyrodiil, it is not a 100% definite fact that the champion of Cyrodiil also became Sheogorath. Same as how I doubt they'll have books in Skyrim about the champion of Cyrodiil being the archmage and leader of the fighter's guild.
Probably needs to be with the mage quests anyways, Manimarco is a major player (demigod), and was killed by the Hero of Kvatch after arch mage Traven's sacrifice. That's plot line is a little hard to ignore.
I'd also add that the Hero of Kvatch was probably a Breton Sorcerer, as that combination would have the best chance of dealing with Oblivion when looking at skill bonuses and racial background.