The CoC wouldn't change as much as people think. I'm not arguing that CoC wouldn't change - the relm would definitly influence the CoC till they are unrecongizable. However, before the relm got its hands on us - a few things happened to our character. First, the main quest.
How many sain people run into hell itself with no back up on a regular basis? Not only that, but look at these forums. People called the experience boring. The CoC wasn't even scared of the things. Instead of "omg another gate to hell!" it was "great...another one..."
We all know they were dreary for other reasons - but think about it. All of us CoC called gates to hell boring. Its ironic, but even more so its insain.
Second, in the knights of the nine expansion - we learned another thing. A Divine Crusader was needed to fight off Umaril, someone to follow in the path of Pelinal Whitestrake. And old Whitestrake happened to have fits of madness that would hit him. And we're talking about fits that would alter the country-side. The Khajiit are still a little upset about what happened way back when. At any rate, I still believe its not coincidence that our CoC was called upon to follow after Pelinal. Both characters were rather crazy.
And then we learn in Shivering Isles, eventually, that we are to be the Madgod. No dought that the CoC would change, but I feel that the CoC was so crazy in the first place there would still remain small frames of memories that CoC hung onto as they slowly started to drift towards how crazy the relm was, while the relm also changed a little to match the CoC.
In the end, I'm willing to bet the followers of Sheo never noticed a thing. Anyone who thought that there was a change would probably be regarded as insain and brushed off by most of the other followers. And at most, I believe if we get to talk to Sheo - he will either break the forth wall and say hello to us as a gamer...
"My goodness! My old friend! Its been so long! Why, you haven't even changed a bit! How's the family? Friends? I say, so much has happened since you left! I can't believe I finally have gotten the chance to meet you again! After you left a lot of intestins got skipped, if you catch my drift. I'm almost tearing up thinking back!"
1-"Erm...have we met before?"
2-"You're as loony as everyone says."
1-"I belief we have. Didn't we? I could have sworn it was you. Maybe we didn't. A lot has changed since back then...I don't really remember much. But I could have sworn you were you. But you're someone else. So sad. I guess I'll never get to see you again. But if you're not you, what do you want?"
2-"I'm so glad you noticed! I've really been working hard to try and fit the job. Everything here is as it should be. Crazy. I love crazy, you could say it grew on me. And cheese. The cheese doesn't grow on me though. That would just make no sense! Haskil says he is appaled at how much I've come to love the yellow stuff. He sure hasn't changed after all these years. But I sure have! Haha! For insance, if you hadn't remembered me I definitly would have taken your skull, carved it into a handy juice cup, and given it to Dagon. He definitly remembers you. But you remembered, so I suppose I'll help you. So, what do you want?"
...or Sheo will mention how he and Dagon have a small rivalry going on for a reason he can't remember. And weightless carrots. I'm sure he has something to do with that. I'm sure of it!