Board Thread:Skyrim/@comment-139.162.35.220-20160909093520/@comment-26893431-20160909124857

The difference is that, the Sheogorath of the past was in reality, Jyggalag. So when Jyggalag was defeated, the Hero just replaced Sheo.

As for the LDB, he's Hermaues' champion according to canon lore. So he'd most likely be stuck in Apocrypha like Miraak.