I know what you are thinking, but honestly hear me out. No one really seems to know what happens to the hero of each game, in fact it's all a bit of a mystery, small hints are made by characters but nothing is set in stone. For example all the heroes of each game are inherently of a Male gender, now this coupled with the fact that in each game you start out as some form of “Prisoner” (Such as the metaphorical prisoner of a dungeon etc, etc) and if the Hero wasn't actually of a “Mortal” race more just a being brought into the world by the Nine to fight against a darkness, this can work with the coupling of Uriel Septim VII's strong affiliation with the Nine and so Uriel sees the Nine bringing this Hero into the realm.
Now back to the part of being a prisoner, as a prisoner you aren't born into the world with a family, you are a nobody who is not connected to anyone thus this allows the Nine to create a being who cannot be targeted through means of family, or loved ones. (I understand that in Skyrim you can have a wife/husband etc but that is purely a player decision and so it doesn't actually mean anything towards the lore) This means that even if anyone else is targeted by the enemies of the Nine/Hero they will not stray from their path of completing what the Nine had set out for them.
Now a lot of people suggest that Sheogorath may be the Hero of Kvatch, this is only suggested because he mentions a lot of what the Hero saw during the main quest line of Oblivion, but I kind of disagree with this statement, this is mainly due to the fact that he is the Daedric Prince of Madness. And as a Daedric Prince he has probably seen quite a lot of happenings in the mortal realm.
Anyway, have a nice discussion about it, I'd love to hear your thoughts on the matter.