Board Thread:Lore Discussion/@comment-108.253.68.177-20131021030335/@comment-25559089-20141106011119

Except Sheogorath became Jygalag (sp?), if that is the Champion of Cyrdil carried out Sheogorath's plans, in which case Sheogorath as such would cease to exist.

So Sheo's appearance in Skyrim indicates that the official line is either the CoC didn't carry out Sheogorath's plan, or failed in the attempt. If the attempt was made and failed then the Champion of Cyrodil is dead of course.