Judging by all the details not in the original game we've discovered so far, we're probably in a universe described by the game, rather the any game itself. Kinda like the Morrowind discs were a Myst linking book with a bunch of leeway for interface/development clunkiness/limitations.
So, since we don't know how the Nerevarine is going to act, and it might very well be in the way implied by the game rather than what players often do, we probably aught to simply give information not part of prophecy. It did run off to Balmora first thing to do that quest, and it might very well start by taking Caius' advice you get when you meet him. It might even rise in the blades primarily and only do secondary quests on a secondary basis. It might even take the main quest seriously.
"I do not know if your divine sight can see my difference beyond my outward appearance, but if you can, just what is this difference? Can you tell if it is some Deadra that has bound me here, and if so, can I be returned using similar methods as those used on Deadra? And finally, where would you like to start hearing about what I know from my travels of sight and time? It is a long, complicated, and dangerous bunch of stories, because I do not know how my knowledge might twist or warp the lines of time. Even this audience might lead to different, more, deaths, and one of the bad ends of a world." At this point remember what it's like to cut the strings of fate and live in the doomed world; for your grimace and the chills down your spine. "I know how timelines can end badly."
Good?