Guild Questline and Canon

Maybe someone has already brought this up at some point, but it's about this specific Quest in The Mind Of Madness in TESV where you meet your HOK as the new Uncle Sheo. He made a lot of references to thieves guild quests or even DB so I was wondering, how does this work? Did HOK canonically become a thief and cultist assassin? Like, I don't really like the idea, because I usually play a very "nice" HOK, but it seems fair to assume that yes, canonically he was that guy.