He's actually fairly intelligent and creative. He wrote the original Rocky script himself, and wrote and directed the sequels (except for V), and, at least IMHO, all of those films are cultural classics. Hell, the Library of Congress houses the first. I mean, look at some of our OTL politicians. You don't exactly need to be a brain surgeon or rocket scientist to get elected, you just need charm, and Sly certainly has heaps of it.
I think the biggest issue is that the man has never shown any inclination towards political life, afaik.
EDIT: Perhaps Arnold gets into politics earlier, and this inspires Sly to do the same. Perhaps he runs for Governor of Penn. in '94 - the Dems could have dropped their support for Singel if Casey had made an even bigger stink at the '92 convention. I think the Penn. GOP could have been talked into adopting Sly, who had household name recognition, over Ridge, who, prior to the '94 election no recognition at all except in the Eire area.