So, what are the canonical fates of the heroes from the main series?

The hero from Arena ("Talin", "The Eternal Champion") - unknown, possibly became an officer in the Imperial Legion?

The hero from Arena ("The Agent") - as Daggerfall was retconned into making all the possible endings canon, and the hero dies in at least one of those, he likely died during the Dragon Break?

The hero from Morrowind ("The Nerevarine") - went on an expedition to Akavir, never heard from since. As the Corprus would've made him immortal, he likely still is in Akavir unless he got killed

The hero from Oblivion ("The Champion of Cyrodiil") - became the new Sheogorath

The hero from Skyrim ("The Last Dragonborgn") - unknown, likely becomes the new champion of Hermaeus Mora?

The only one of those I'd suggest is "true" is the fate of the Daggerfall agent. And even then, that's debatable I suppose. The shorter answer is that there are no canonical fates. At least not in the sense that you are using the term.

What ever you want them to be.

Indeed. Even at that, the Akavir bit is only a rumor spread by people who barely know the guy/gal in the first place, and anyone throughout Oblivion could've just as easily fill Sheo's shoes without being the CoC. At the end of the day, its pretty much up to you what your PC's do with themselves.

I disagree that just anyone could fill Sheogorath's shoes. While in past games the final fate of the PC is ambiguous, I think there is a pretty compelling case for the CoC having become Sheogorath, given the words of Sheogorath himself in Skyrim which at the very least references TESIV, and the fact that the CoC has the option to walk in the footsteps of Pelinal Whitestrake (who was mad himself), I am, at the very least, convinced that the CoC mantled Sheogorath.

You said forbidden word! Burn the Herectic!

Nah, I am joking as said above the fate of champions is all up to you , there is never directly said what happend to previous hero with maybe excpetion of Daggerfall hero.