I've completed the Shivering Isles main quest but most NPCs in the isles don't seem to know who I am - is it meant to be like that?

You must be new to elder scrolls, huh? As far as I remember it is suppose to be like this. I mean all citizen of Shivering isles are mad so it is hard to blame them that they don't recognize you as the mad god. But who knows maybe they don't recognize you because you aren't a madgod but simply mad yourself.

Not new at all, ha ha, first played Morrowind in about 2003!

It's just that UESP says some NPCs will start addressing you as Sheogorath, but most of them don't seem to.