Except there's no crack in the facade. The illusion is perfect, which is a nix on your opinion, because the story-on-its-own-merits couldn't support multiple interpreations. You would be looking to gray ghosts outside the story. What is said, is the player will perhaps grow into the station. So, the only two interdrealions are: the player does grow into the realm, or the player does not. Pick your take.
Some are pulling the events out of context, before they've studied the context, or even given thought to it; or do svidania, sweet-cheeks.
In the context of the main SI questline, you're right. There isn't any evidence in the Shivering Isles that suggests that the Shivering Isles are just an illusion.
However, in the context of the Elder Scrolls as a whole, there IS room for doubt, and the evidence is a simple as this.
"Sheogorath typically manifests on Nirn as a seemingly harmless, well-dressed male, much to the surprise of many mortals. The reasoning behind his appearance is to lead unsuspecting mortals down the path to insanity, the "Golden Road". (http://www.uesp.net/wiki/Lore:Sheogorath)
After appearing in three games, we can confidently assert that one of Sheogorath's activities is driving mortals insane. Furthermore, the mortals he leads down the "Golden Road" are sometimes not aware of his involvement.
Take, for example, his Daedric Shrine quest in Oblivion. To the Khajiit of Borderwatch, it appears the K'Sharra prophecy is coming true, even though the CoC knows otherwise, because they have access to knowledge the residents of Borderwatch do not.
We experience the Shivering Isles through the eyes of the CoC, and we only have the knowledge the CoC does.
Whether or not the CoC is a prince of madness or a gibbering lunatic is known only to Bethesda, and until they make a definitive statement about it (Which I seriously doubt will happen), there can be no real answer to that question.