Sheogorath is in a bit of bother, you see. You discover that the madness shrouding the islands is a control mechanism over the people who live on it - distracted by their illnesses and the factions locked in a bitter squabble, Sheogorath’s reign over the lands is pretty much unchallenged. But enter stage right another Daeric Prince - Jygglag - keen on restoring sanity to the islands by inducing an event called the Greymarch, a state of affairs that would leave ‘Rath in very hot water.
So you’ll be asked to go out and do things for him, including, eventually, the rebuilding of the gatekeeper that you so thoughtlessly slew earlier on. You’ll forge relationships of some kind with mentals on both sides of the Mania/Dementia divide, and at some point will be called upon to align yourself with one of the factions.