That's only your choice. My character is all... Champion of Cyrodiil, Archmage, lead of the Fighters Guild, Gray Fox, Listener of the DB, Sheogorath, etc.
I think, it is lore-correct, to say, that the Champion of Cyrodiil had become prince of madness.
I disagree. I think that in future games the Archmage, Gray Fox, Listener, Sheogorath, Divine Crusader, and CoC will all be assumed to be different people or at least will be reffered to seperately despite what your past PC accomplished. I imagine in the next game there will be books or at least rumors that refrence the actions that your PC did but considering that it is practically impossible for one person to be able to do everything Oblivion had to offer there will be stories about what the Divine Crusader did and what the Champion of Cyrodiil did yet no connection between the two will be made.