Well, they are all called Lord of This or Prince of That, and in my experience they all behave that way too. Especially ones like Sheogorath speak to you in a rather polite way, something I didn't expect of a Deadric prince. Of course not all of them are that polite, but still, some stick up to their title.
I see what your saying, I had not given it that much thought. But I guess even a Prince of Debauchery has a civil side. But at the same time, do they really need to live up the "princely" ways? I would have thought the Prince of Debauchery would have had silk type clothes on, and women dripping off him, and them half naked. Not dressed up in Daedra armor. And then the speech was just way off for me, to civil. He should have been swearing about something and demanding another round of Spiced Wine and so on.. It just seemed ridiculous to me.
And as for the other comments about being a fun mission, I guess I cut it short. I didn't go after the goat. The game should not have let me make another choice because I got out of going after the goat. I was able to intimidate the man and skip that part. I will have to do it differently next time around. I thought it was a disappointing quest, might have been more fun if I had gone after the goat. LOL