To make things short, Sheo really isn't good nor evil.. or at least to the human concepts that we associate as such<_<
Daedra aren't necessarily 'evil', chaotic yes but they very much can do acts that benefit others.. thing is, anything they do is within their best interest, not yours no matter how grand or cruel the objective is. Daedra are selfish, simple as that

Hell the Aedra aren't much different despite how much they are praised as holy beings.. but ppl forget all too well they are equally adept at good deeds as they are at evil, only difference is they are willing to sacrifice their personal gain for another's. Mortals are nothing more than playthings to them, they cannot help but be interested in Mundas itself. Granted many have done deeds to wreck havok and have made attempts to take Tamriel for themselves.. but I find that there are less records to the many times they have helped prevent disasters or put an end to an evil. While it is in their best interests

you can't discredit the various ways mortals have benefited from their actions. I mean hell, would you like it if somebody came by and started ruining your toy box? I think not
Also because I feel this should be addressed.. the CoC, despite being the hero, doesn't have to be a good guy<_< he could of been a mass murdering phsycho-path strung up on skooma

One sole act for the greater good of Tamriel doesn't change who you are or what your motives were. The CoC could of been a man of justice, or a lawless assassin, or a charitable thief, all are equally possible. But I guess in truth what matters is what the public reveres him for, for that is what will be recorded in history. Also.. Sheo prior to the events of the DlC and after has changed very little. The CoC took upon himself the very essence and influence of Sheo, thus in turn taking it upon himself what it is to be the Madgod. Yeah he does still retain old memories, but he's far from the same hero who stopped Dagon.. quite simply.. he's just as insane as he has ever been.
Now to the real depth of the question.. what is Sheogorath's relation with mortals and his choice of actions reflect on his motives. I find that compared to most other Daedra.. he may very well be one of the few to truly be nuetral despite his chaotic nature. He loves to entertain himself with mortals. He really should be feared when he grows bored or by some means you insulted his ways or the creative minds that he loves to foster. If anything, if he truly wishes to cause harm he hardly needs to do a thing, preferring to let you or convince others to do it for him.. all the while he enjoys the cruel irony. If anything the most harm is not done by him but by those that seem to worship him, doing great harm to themselves and others. He hardly even shows a great interest to take Tamriel for himself.. which is well.. mad even for a daedra. So if you really must know, don't think of him as good nor evil.. but simply troubling, thus is why ppl fear him and rightfully so. To whatever will entertain him, he shall do, so whatever you do.. just don't grow a beard