From the http://www.uesp.net/wiki/Oblivion:Stendarr%27s_Mercy:
In exchange, you are afflicted with the Curse of the Consumed, which constantly damages your fatigue by 5 points. The only way to rid yourself of the curse is to continue with the quest line: upon receiving the The Blessing of Talos, the curse will be removed.
So: it isn't that bad (in fact, when I played through KotN, I never noticed any ill effects from it; it might as well as not been there at all), especially if you're playing through the questline with a higher level character with lots of fatigue. If you're at Journeyman level or higher in your Athletics skill the curse gets even wimpier, thanks to bonuses to your fatigue regen. And yes, it will be removed when you finish KotN.