@KingOfAsh: That was Eva Beatrice, but Eva is more inexperienced and was a result of Beatrice spicing up a game, in other words, anything stated here can be done by Beatrice and a lot more.
Here they are lightning-timers creating mythical weapons and shields that toy with universal concepts.
@ReiKai: Here's the definition of the red warhead:
Red Warhead: Siesta Sister's forbidden weapon, a conceptual projectile of absolute killing power "Impossible to shoot down", "Impossible to avoid", "Impossible to survive when hit".
It's similar to the red key, it isn't killing him, it's erasing him which bypasses his durability and immortality. Yes, Beatrice can in erase Sheogorath, and the deadric princes have no feats or demonstrations of erasing beings from existence. The argument "because I said so" is not a valid one, I thought you would know this by now.
Sheo was once the Daedric Prince of Order, Jyggalag. The sphere of his power was so great, the other Daedric Princes were actually afraid of him, so they worked together to curse him and thus was born Sheogorath, the Daedric Prince of Madness. Eventually, with the aid of Sheo, the Champion enabled both sides of his personality to be separated and they became separate Daedric Princes.
"I once dug a pit and filled it with clouds....or was it clowns.... it doesn't matter, it didn't slow him down. But it really began to smell! Must have been clowns. Clouds don't smell, they taste of butter. And tears." -Sheogorath-
@ReiKai: Doesn't matter if they can't be destroyed, that means nothing to being erased from existence. They have NEVER shown the ability to erase beings from existence in any of the games, thus he cannot kill Beatrice who cannot be killed by any form of physical means.