You aren't getting the point that some CoCs didn't become Sheo,
People who never played the expansion never had the option to even do it and may have imagined them living the rest of their days living in Bruma. But by youy logis he have to say "Nope, you become an insane rampling idiot because they guy ovet there did!"
I know some players chose not to become Sheogorath just in the same vein some players didn't choose for the Nerevarine to go to akavir. Bethesda takes liberties with the characters it has. You're denying that CoC isn't Sheogorath because Bethesda doesn't openly say "hey, this is him."
But on the other hand, the trailers for Skyrim have a nord male as the Dragonborn, and Esbern's blade's song once you find Alduin's Wall says that this is the last dragonborn there will be. I'm not saying you're denying that, but it's just strange to me that people are all over the board even if Bethesda portrays the main character a specific way.
On another note, multiple dimension theory. Whether or not you believe in it irl, it's a thing that exists in many fictions. Especially in Elder Scrolls and Marvel. But for all the other dimensions in Marvel, there's still a main continuity - and there seems to be one in the Elder Scrolls too, what with how specific events happen and are kept recorded.