If I'd been having tea with someone every Tuesday for 200 years, I'd consider them a pretty "old friend" too.
Having said that - I don't see any hint in Sheogorath's dialogue that he was formerly the Hero of Kvatch, Saviour of Bruma, Champion of Cyrodiil etc.
So? Kill them. Kill every Thalmor who sets foot in Skyrim.
When the Thalmor demand retribution, hang a few bandits. Plenty of them around. Rinse and repeat as long as necessary, until the Thalmor get tired of depleting their ranks of inquisitors.
Honestly, I don't know why the Empire is even fighting in Skyrim. The government of Skyrim is a purely internal matter for the people of Skyrim to settle among themselves, by whatever process they see fit. If the Empire respected that degree of autonomy, it could (a) save all the lives lost in the civil war, (b) keep Skyrim in the empire, and (c) laugh at the Thalmor. "You want to enforce the Concordat in Skyrim? Go right ahead, we'll hold your coats for you."