I mean, come on. The guy's sold his soul to everyone and their grandmother to get a bushel of God-like powers. I hope Hircine doesn't expect to go hunting in Sovngarde, and Lady Nocturnal's going to be pissed when she finds the Dragonborn can't go through with his end of the bargain.
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He trades all the dragon souls he has on him at the time he dies to the Princes and gets to come back while the dragon souls fulfill his bargains.