That's what you may think. But if you really think about it, your character never actually did become Sheograth. It is the realm of madness after all. Your character THINKS he/she did...but he/she actually didn't. Your character has fallen into madness. Sheograth got you fooled again. :ahhh:
Sheogorath is himself mad. The Champion became Sheogorath, not the other way around. His/her personality will be utterly crushed by the characteristics of the Madhouse/Asylums/Shivering Isles and will be the Sheogorath we know and love in Skyrim. Daedric Princes do not rule their spheres, they ARE their spheres. Jyggalag now roams the waters of Oblivion, a pitifully underpowered plane unto himself, but free of the madness that consumed and twisted him into the thing he hated most. The Champion got left shouldering the curse himself, a truly horrifying fate. I suppose it's better than being crushed by a giant robot or eaten by snake people, though.