Sheogorath, she thinks, is kind of obnoxious. Fun, too. Enjoyable obnoxious? Obnoxiously fun? Both? Whatever?
Well, solving the puzzles for how to cure the madness of a long dead Emperor with nothing but a stick and some metaphors is fun. Sheogorath's running commentary's funny, too, so that's mostly working out to 'this is a pretty neat situation to be in.' And a clear way to get Sheogorath to do something (that is, return to the Shivering Isles to help his people) is nice.
She finishes beating up all of Pelagius the Mad's anger while bolstering his confidence and dodging his self doubt, the last of her three tasks, and skips back to where Sheogorath is sitting alone after Pelagius's ghost wandered off.
"All done, Sheo!" she calls.