The Champion=Divine Crusader=Madgod thing is starting to annoy me. Good for a hypothetical mind [censored] but you don't hear anyone saying that the Gray Fox is the Arch-Mage, do you?
Yeah I agree. Another thing is, if you mantle Sheogorath and then in that second start to act like say Azura, doesn't that kind of break the whole thing?

In any case, I agree that it's somewhat shady (although in all honesty I'm playing again, and I'm already about to finish the MQ with a Divine Crusader and am particularly looking forward to go to the SI afterwards.. you know save the best for last. However, to keep my RP perspective sane, the MQ/KOTN line will be considered separate, since I'll leave all behind when entering the SI.. I'm too lazy to make a new char all the way to level 30 just for SI).
But you must view it as .. "it all happened, but not necesserily to the same guy". It happened to YOU that is I that is WE, but it's quite possible that in one of the WE it only happens that the SI line is done for example. That's what the whole Dragon Break thing is for.