This seems a rather basic question and I'm certain that you lore buffs will put me in my place. I almost feel as though this may have been asked before (Maybe even by me! I'm forgetful!) but I cannot find the information I'm looking for.

The thrust of it is this: what happens to Jyggalag once he's defeated during the last Greymarch? He's obviously not killed. (I'm not even sure that a Daedric Prince can die, honestly.) So....what? Jyggalag wanders Oblivion without a realm of his own for 200 years? I understand that 200 years for a Daedric Prince might as well be a few days but is the idea that Jyggalag's basically tromping about Oblivion, carving out a realm of his own? I mean, the Greymarch isn't a thing anymore, to my understanding.

How far off the mark am I?

Yeah, you're right. Jyggalag was freed from the curse and fully separated from Sheogorath and left to go make himself a realm of perfect order off in Oblivion.