If so gravity jumped off a cliff as a sacrifice to join gravity, that person isn't going to go to gravity. Same deal with Sithis. You should NOT listen to the Dark Brotherhood. They're, what I'd call, a completely unreliable source.
I'd say it's a little early still to make those claims. It seems to me that when a Dark Brotherhood kills in the name of Sithis--and I'm sure there might be more prerequisites for this--he/she sends the victim's soul to the Void, i.e. destroys that person's soul. They do not go to the Dreamsleeve or anywhere else. They simply stop existing.
It is certainly possible that that's all a load of BS and the Dark Brotherhood has no idea what they're talking about, but I think we'd get some type of indication if that were the case. Instead, I'd say the ideals of the Dark Brotherhood have been reinforced since Oblivion.