What happened to him? I was sorely disappointed that I cant find him in oblivion. Also I can't believe its drug related BC its been said he could hold his skooma better than a khajit.
Does anyone know or have any speculation?

Hmm...did you read http://www.imperial-library.info/content/obscure-textson Cosades?
It seems he left for the Imperial City, then returned to mainland Morrowind. Or maybe he never actually left Morrowind.