What about the Magna Ge then? The Aedra? Meridia? How do Princes have multiple realms? I heard the Daedra form their realms out of Aetherial refuse.
That would be how to gain form. They need matter, and in TES matter is just baser forms of mythology and magic, which come from Aetherius. Magna Ge live in Aetherius already, Aedra are half in Aetherius and half body parts that make up Mundus, Meridia, like Sheog and Dagon, is one of those weird ones who had to change to fit the mold.
And while I respect other people's opinions, I think SI actually happened for the same reason I think Vivec wasn't kidding when he said he got CHIM and retroactively split a timeline: What narrative purpose is served by the main character being crazy? None. Yet narrative and mythic purpose is served by having Sheogorath being mantled and Jyggy being forestalled.
And on a simply practical level, Sheogorath plainly does have a chaimberlain named Haskill and a realm called the Shivering Isles with a town called Passwall and a capital of New Sheoth because he says so in Skyrim to the Dragonborn. So why would the CoC be seeing true on this and nothing else? Complexity may be good, but complexity to no purpose is both meaninglessly irritating and not Betheda's style, which is complexity to add depth.