It's the same kind of deal to artists and creative folk who worship Sheogorath. Not everyone who worships him is a crazy lunatic.
Even if they don't worship him, seeing as how the honorable Nord seem to prefer Aedra over Daedra(Akatosh, Shor, all them peoples), they could at least form a pact like the Cyrodilic Vampires did with Clavicus Vile. I have yet to see a shrine to Vile from vampires or even hear one revere him, so you don't necessarily have to worship them if you think that's a bad idea.
I don't know, just an idea.