Malgak isn't a shiny happy Orc, so he picked Dementia. He met some Matzken on the way to the palace, and felt they were worthy of his respect. Upon arriving at New Sheoth, he thought he'd have to slaughter a bunch of Golden Saints like he'd done so often in Vvardenfell. Still felt like it after becoming familiar with the Aureal.
By the end, he still preferred Matzken, but didn't dislike Aureal quite as much. Even placed one of each shield by the palace entrance after the final battle, to honour both races who'd fought together.
However, be aware that during the Main Questline you may need to do some unsavory things, perhaps not suitable for a "Holy Knight".
Very true. Your devotion to Sheogorath will
definitely be tested.
[edit] And I think a holy knight would initially align with the Aureal, but later might have a change of heart after being around enough Matzken. The whole place is twisted, so there's really no "righteous" path in the Isles, just whatever your knight would choose based on experiences (boils down to the lesser of two weevils). You'll meet plenty of people who say and do bizarre things according to their own version of "Truth."