Wow. So it's canonical. The COC ventured into the SI and became the mantle of the Madgod?
Damn, why did he/she do that? What did everyone in Tamriel think?
The CoC was already very insane anyway. You know, multiple personality disorder. Only someone who is completely bonkers can go from being the Champion of Cyrodiil, to arch-mage of the entire Mages Guild, to the head of the Fighters Guild, to being the Grey Fox, to the Listener of the Dark Brotherhood, and so on.
Also, since the CoC mantled Sheogorath, the CoC was really Sheogorath the whole time. To find out more about mantling and becoming a god, go visit the Lore Forums, and do some searching.