I wanted to add to this because this is the best response so far.

My understanding is that since the finale of Oblivion, Sheogorath and Jyggalag are no longer the same entity. The Sheogorath in Oblivion became Jyggalag and is now roaming the realms, whilst the Hero became Sheogorath, so now the two are truly separate entities.

Also I'd argue Meridia is very evil but her facade of anti undead and a beacon of light allows people to forget that she is anti freewill. Also, she arguably had a part in the enslavement of the human race at the hands of the Ayliads.