Yea, after I defeated Dagoth Ur, i went and did some freelance. Then when I rested one day, apparently the "Tall Golden Figure" talked to me, even though I killed him already. Is there something that I am missing? What is wrong?

It seems Sheogorath has claimed you sanity.

Really? But this is the dream I recieved "In my dreams, a tall figure in a golden mask spoke to me. "Lord Nerevar Indoril, Hai Resdaynia! Long forgotten, forged anew! Three belied you, three betrayed you! One you betrayed was three times true! Lord Voryn Dagoth, Dagoth Ur, steadfast liegeman, faithful friend, bids you come and climb Red Mountain! Beneath Red Mountain, once again, break your bonds, shed cursed skin, and purge the n'wah from Morrowind!!

I had the first three dreams from here: http://www.uesp.net/wiki/Morrowind:Sleepers_Awake (Journal Entry section), but why did this one appear after Dagoth Ur's death? Bugs, glitches?