So we know that canonically the hero of Kvatch was the leader of the Dark brotherhood and the thieves guild which means he was a pretty terrible person and explains why he was in prison to begin with.
However, he also reformed the knights of the nine after the end of the oblivion crisis. The divines themselves considered him worthy to wear them. I can only assume that he considered Martin septim a true friend and his self sacrifice motivated him to seek redemption.
However, Given his eventual fate as the new God of Madness he must have realised that someone like himself containing so many contradictions and capable of so much evil AND good must be Insane and taking on the mantle of sheogorath is the closest he will ever get to emulating Martin Septim.