First question - Dragonborn is less optional, lorewise, because Skyrim's main quest must be started before we can begin the expansion - and, as already explained, it extends the story of Skyrim's main quest. This tie-in to the base game "legitimizes" the events of the expansion.
By contrast, the story told in Oblivion was not connected in any way to the story told in Shivering Isles. They were also separated by gameplay. Some players may go to the Shivering Isles, some may not. Because there is no gameplay connection between the base game and the expansion it is harder to make a definitive lore connection between the base game and the expansion.
Second question - The Dragonborn being Sheogorath is not cononical because the information is purely hearsay. It may even be a lie. We have one source and that source is someone who is possibly insane and definitely a trickster. Sheogorath is notorious for messing with people's minds. It's quite possible that he is deliberately misleading us when he refers to the Champoin of Cyrodiil.