Okay, so if martin sealed the oblivion gates forever, how is it the player character can visit sheogoraths realm after the events of oblivion? Does sheogoraths realm count as a plane of oblivion?

Two things:
1. Daedra can't go in and out of the SI gate, only mortals. Just try taking a golden saint or Dark seducer through the gate. It's an invitation for mortals, and mortals have always had an easier time leaving Mundus then the Daedra have had getting in. (heck, a mortal could enter a daedric realm simply by stopping to be in Mundus and starting to appear in said realm)

2. Martin restored the status quo. Even prior to the Oblivion crisis it was possible for mortals to open Oblivion gates, though it was only during the Oblivion Crisis that they could stay open for more then a couple of a minutes.

Oooooooh. That makes sense. Thanks for clearing that up. But still, after the main quest, shouldn't sheogoraths portal close?

It acts as a "invitation" as Haskill puts it rather than a gate of doom bliviongate:

Nope. It's a mortals only portal. If an army of Daedra could march through it, then it would be different, but as Haskill said: "It poses no threat to Mundus, no compact has been violated."

Okay, I understand now. Blessings of talos for you all!