They probably entered by either invitation like the player did or perhaps died and went to a Daedric Realm. While most of the time when people die and go to the Dreamsleeve, if one is bound to a Daedric Prince they go to that Prince's realm. And yes, other realms are the same. Note that some Daedric realms are extremely hostile towards mortals like Coldharbour and Mehrunes Realm. Other realms are in between like Hircine's realm where mortals who find themselves the hunted or the hunter depending on their relationship with the Prince. Azura's Moonshadow is known to have it's inhabitants as well.
SI was the Madhouse of Oblivion. All those with the mark of Sheogorath, i.e. lunacy, are welcome and may pass the gatekeeper and the gates of madness unmolested.
SI was the Madhouse of Oblivion. All those with the mark of Sheogorath, i.e. lunacy, are welcome and may pass the gatekeeper and the gates of madness unmolested.
And this is the reason why the COC never became Sheogorath, but simply went nuts.