Board Thread:General Discussion/@comment-24.119.198.177-20130930002431/@comment-30317136-20161208184835

Yeah and the Hero of Kvatch becoming Sheogorath is part of the DLC Main Quest making it canon. Also the Hero of Kvatch has this joking streak of loving cheese which further matches the fact that he did become Sheo at the end of the DLC which carries his craving for cheese over to Skyrim when the Last Dragonborn meets him