Sheogorath will want you to jump off the throat of the world.
Because your parents are down there.
Could you just-could you just jump into that pit? There? That deadly pit? You're saying to yourself, 'why should I jump into the pit?' I'll tell you why. Guess who's down there!? Your parents! You're not adopted after all. It's your natural parents, down there in the pit. Should've mentioned it before, but I didn't. So, jump on down... and reunite... with mommy and daddy. Oh, I'll tell you what's also down there... your parents! And there's also an escape elevator... down there... funny... I should have mentioned it before, but somebody's down there... so pop down-jump down. You got your folks down there... and an escape elevator. And... what else is down there... tell you what, it's only a new jump suit! A very trendy... designer... jump from France... down there... which is exactly your size and if it's a bit baggy, we got a tailor down there as well who can take it in for you. What's this!? A lovely hand-bag!? And... the THREE portal device, also down-it's all down in there! Um... you got a yacht and... BOYS! Loads of boys! Fellas! Hunky guys down there, possibly even a boy friend! Who's to say, you're not sure at this stage.
I don't care how Sheogorath appears in game - he probably let go of his mortal form a long time ago and has since forgotten much of who he was. I don't think he will be the same old Sheogorath though, though his statue will be the same since it was probably built before the CoC became the mad god. Personally, I just want to see The Adoring Fan at the Sheogorath's shrine - having been made immortal by the Mad God, but is unable to ever leave the shrine ever. When you talk to him he begs you to kill him - but he can only be knocked unconscious. :clap: