As for the lack of shrines to Mehrunes Dagon, well, I suppose that could be chalked up to gameplay making it a bad idea. If there are shrines to each of the other princes, in theory there should be one in the open like that for Dagon but since he's the big baddie of the game, it was probably most wise to leave that out.... not sure though.
There was a Shrine to Mehrunes in the Lake Varrious Caverns, the Mythic Dawn hide out. Storywise you won't get can't get any quests from him though because you royally [censored] up his plans. His shrine even attacks you by trying to fall on to you.
1. Each Daedric Prince does have an individual realm, however, there have been a number of theories as to why you travel to planes similar to Dagon's from those quests. Probably has something to do with the fact that that realm was the most easily accessed from Tamriel at the time.
Nah. You should call it for what it is, development constraints. Lack of resources to make a proper realm.
Also in the inevitable TES 5 you will be awkwardly close to TES 4 assuming there will be Daedric Shrines for Princes once again, seeing as the new Sheogorath is the Hero from TES 4. Maybe they will have a shrine to Jygglag and Sheogorath representing two viewpoints, this would mean Sheogorath actually has 3 Personalitys one for each half of the Shivering Isles and one for Jygglag unless they dont count. Also it seems that true followers should know about Jygglag but most seem to crzy to be able to actually communicate that. Sorry for the rant again but thanks for the answers.
I don't think there will be anything new about Sheogorath. There are some hints, namely Arden-Sul, that this has happened before.
Nevermind on the fact that maybe it wasnt Peryites realm as the wiki says it is so, but it does say that it is in the lower reaches of Oblivion much like the Deadlands.
Sounds like one of the editors is hand weaving. There are no lower reaches of Oblivion, it isn't hell with it's seven rings but more like outer space with it's plane(t)s.