Well, unless we are to assume that the Skyrim writers are simply careless, both Sanguine and Sheogorath are able to physically enter Mundus and chat with the Dragonborn in person, which would seem to be an utter violation of the whole point of the Dragonfires then. After all, Akatosh's actions with the last of the Septims allegedly sealed the marble jaws of Oblivion for good, 200 years beforehand.
Sheogorath didn't physically enter Mundus, he just entered the mind of an dead emperor. But I agree its strange with Sanguine, its strange. Answer is still most likely that they were careless