The expansions from what I know are supposed to be 'cannon' like Bloodmoon and Tribunal. Weather we played through it or not cannon wise the CoC became Sheo.
I like to think it's a little more open-ended than that. The
events of the games (including general plot lines of the various factions) all happened. Whether it was the player character, or one of the many off-screen "others" is usually left deliberately vague.
Fishy's CoC may not be Sheogorath. Mine certainly became so, and is apparently settling into the role quite nicely.