If you built the cellar beneath your main hall and built the shrine base, did you build the Shrine to Talos in your cellar? Did you not care and just wanted the bonuses? Does your character believe in Talos and want his shrine there? Does your character believe in him but fear the Thalmor finding it? Is your character convinced he was only just a man and did not build the shrine? Personally on my current character, I did build it because my character does believe in Talos and even though she's loyal to the Empire, she hates the Thalmor and is glad to risk discovery by defying them.