After claiming the throne of madness, a quest journal will pop up commenting on your advancement towards godhood. You will receive three lore-friendly spells as soon as you load your save file: Intangibility, Physical Form and Daedric Weakness. Consider this the ultimate endgame reward the devs never added upon finishing the SI expansion.
You allied yourself with Martin, so Dagon went ahead and blocked your power...
That message is purely aesthetic as it's impossible to leave the Imperial City while its under siege.