As the title says, I'm curious if I overlooked something or I have to come to the conclusion that the god of madness has impeccable foresight.

As far as I know there is only one account where he might fail, and that is the bet with asura in which sheogorath bets that a person would go insane if he/she devoted a 100 year to prayers. In this particular bet (Morrowind) asura calls upon the player to defeat a golden saint send by sheogorath. The fact that sheo sends a golden saint shows that he might lose this one. (Though I consider this one undecided as the protagonist can make the bet go both ways, and even if he/she helps asura we do not know what will finally happen as the priest still has a couple of years to go).

So can we conclude that Sheogorath has never lost a bet?