Their existence doesn't seem to be dependent on there being a mad god.
The Shivering Isles is a plane. It didn't go anywhere so it can't technically return. We just had access in Cyrodiil because of the gate that opened in the Niben Bay.
Technicalities? Yes. But I only point them out to express that there's not really a lore-derived reason to deny Golden Saints being present in Skyrim (even though it might require a mod to actually do it if Bethesda decided against it).
None that I can see, and they had all sorts of Daedra running around Tameriel since Daggerfall, so I don't see why Shegorath's minions wouldn't be a part all that running around.
Who says paper airplanes aren't sixy...
Oh don't get me wrong, it would indeed be a sixy reenactment of the Battle of Britain.
Thing you gotta remember about Shegorath is that he's a daedra, and quite mad, he's like a coked up Robin Williams of Daedra princes. Most of us would probably put the Saints and Seducers in Bikinnis, or even nothing at all, and live out various hot tub fantasies. Now Shegorath, he'd have a hot tub too, but he'd likely fill his with hot coco mix. Then the Saints and Seducers would get into a heated hot tub territorial debate and start viciously pelting each other with marshmallows. Now granted the http://tvtropes.org/pmwiki/pmwiki.php/Main/RuleThirtyFour dictates that quite a few would still get turned on by this scenario, even if it's a chaotic sticky goopy mess that would probably screw up a perfectly good hot tub.