1. Sheogorath prolly has a cult, similar to the mythic dawn, since he is able to manifest himself in pelagius's mind (which I feel is a sublocation of nirn somehow, therefore he requires something to feed him some power), so you have something to work with
2. You gave him shvier isles, it was a lot of madness, it was, and I enjoyed it deeply, but understand: you gave me the good stuff, I want more, I really do.
3. I feel that the transition you made in storyline from one villain to another, is... a bit too huge of a jump... while I love dragons (they're a step down from the immortal daedra i know and luv) alduin isnt a mehrunes dagon
P.S
I am a oblivion walker, so don't say "Go get all the artifacts and do all the daedra quests" I did em, and they were great, esspecially sanguine's and sheogorath's.

(kinda thought about this for a lil 2bh)