Sheogorath when he is not being downright infuriating, is as Camoran said, dangerously clever.
These things are always a bit speculative when it comes to fantasy. I was wondering the same issue of the "cursing" (transformation from Corellon's magic as guided through the Protector Priests and High Mages - Fourth Crown War :CA 10,000 DR) when it was applied to the Drow themselves, who have a likewise lore. Yet, of those that they pray to, they bear their likeness (Lolth, Eilistraaee) and yet, not, (Meilikki, Vhaeraun, Ghaunadar.
I like Azura, but I think that since it is shown she can wield some degree of power, the hero always wonders, "Hey, if you can clear the ding, dang sky, what did you need me for?"