I'm rather confused by the correlation between the mad god returning, and the appearance of the Golden Saints. Others have said something similar as well, but the reason I am confused is they still existed after the CoC became Sheogorath, so it's reasonable to assume that they are still around... right?
Or maybe I just don't know the lore well enough.
What is MORE telling is this: Once the WellSprings were restored, The Golden Saints AND Mazken returned EVEN THOUGH SHEOGORATH WAS GONE, Transformed into Jyggalag and all the realm around them was dead.
They are Daedra, in and of themselves, and as the Dremora do not owe existence to Dagon, and did not always serve him, so the Aureal and Mazken, whatever changes they have undergone to ideally serve Sheogorath, are not of him, though they serve him.