Board Thread:Lore Discussion/@comment-7629073-20130402085627/@comment-6707115-20130706184001

The Heroes can't all be the same, as many of them represent different (and sometimes opposing) interests. For example Nerevar was a champion of the good Daedra, Azura specifically, and I highly doubt Azura's Moon and Star would act against her interests (and against all the other sane Daedra) by freeing Jygalagg from the curse which the Daedra bound him by.

The most likely answer is that these heroes are just independent champions for a particular diety or pantheon alliance. The main reason for this is that many of the main events or sponsors for each champion might not go well with each other (e.g. Nerevar severing the Heart of Lorkhan from the dimension might not be in Shor's best interest theoretically, and thus not in the Dovahkiin's best interest).

One last proof is that Hero of Kvatch was incapable of actually wearing the Amulet of Kings (without it slipping of instantly), as it can only be worn by a Dragonborn or one of the Dragonblood, proving the Hero of Kvatch and future Sheogorath was neither.