I was wandering around Sovngarde today after slaying Alduin. After a bit of mountainhopping I managed to find a way outside of the boundaries (XBOX 360). Where you enter Sovngarde, if you stay to the left until you see the big statue. If you do the usual hop step you can make it all the way out. I kept going West as far as it would allow and eventually I passed the rolling hills and found a strange water area with a water maze of sorts. I didn't find anything else exciting out there. Been walking for quite a while looking though.

Anyone else explore outside these boundaries and if so is there anything worthwhile to see?

Nope, but that sounds interesting.

It's seems like another of many unfinished things in Skyrim. Perhaps they planned on making Sovngarde much bigger but had to crop it down for whatever reason.

Sounds like a reasonable guess. I wish the dev's would release an official list of "unfinished stuff" for games that come with constuction sets so modders know exactly what was intended prior to release. Unless they already do these things and I'm stupid, I dunno.

or just release an "unfinished content" DLC, where they add everything that wasn't finished

Jeeze, imagine that! Or better yet, a FREE DLC that comes with an apology! Ahh, it's so nice to dream of such things.