-By the end of SI, Sheogorath is gone, and his realm is still active. Therefore it cannot be a Daedric realm, given that Princes and their realms are each other.
-How can you say that Sheogorath is nice? His goal in existence is to upset balance, and like most other Princes, he gets murderous when his power is called into question. Just look at how he tried to destroy Vvardenfell when the Dunmer cast him down.
-And finally, Mundus is not a Daedric realm. Lorkhan was/is not Daedric. His place is being filled by an ad hoc Divine.
First of all, at the end of SI, the
player becomes Sheogorath. That was his entire plan to stop the Greymarch, remember? Second of all, I said usually nice. And let's take a look at some of the other Princes. Mehrunes Dagon, who is THE main enemy of Oblivion. Boethiah, who represents deceit, assassinations, and other similar things. Morag Bal, who is apparently known as the King of
[censored]. But throughout the various lore, what have we seen Sheogorath do? Pretty much play pranks on people, "teach" them about the importance of things like art or thinking differently, or a combination of the two, plus that moon thing. Which, going by what you say, is pretty close to what the other Princes would do. It's more of a "nice compared to most of the other Princes" thing, but he's probably also not as mean, at least to the player, as a lot of the NPCs. Third of all, ok, I just got confused and got terminology and stuff mixed up there.