Finished the SS questline on another playthrough, its easily the funniest quest in the game for me and I'd happily spend the entire game 'Speaking as Shroud'.
I think the Shroud works better with a female character than a male, also I can't be sure but was the Shroud originally female? The dialogue occasionally refers to the shroud as 'she' but I think they are only talking about the armour.
As it can be upgraded I think I'll be playing as the shroud for a long time.
"You citizen have committed foul deeds and I the Silver Shroud am here to make you pay for your crimes!"