The Addon "Knights of the Nine" may not be the best Addon, Bethesda ever made, but I think, that the Lore, which it brings in, is more important than the Lore of the "Shivering-Isles"-Addon. A few months before Oblivion was released, the Nu-Mantia Intercept appeared in the Bethesda forums. Nu Hatta told us a lot about towers and stones and he warned us about a returning of the Ayleid. Short after the Oblivion crisis, an mighty and powerful Ayleid return and we've got to beat him.
How Umaril and his followers, the Aurorans, entered Mundus is not known yet, but I assume, that the Ayleid gonna be a important part of the story of TES V. I don't think, that they'll invading Tamriel, but they will be a part of the story.
It's my theory that Umaril waited patiently until around the time Uriel Septim was assassinated and entered the Mundus either just before the events of Oblivion or during the main quest. He slipped quietly through a portal into Tamriel amidst the chaos of gates opening everywhere, and hid in an Ayleid ruin. Such an act would have been completely unnoticed even during peaceful times, if done under cover of darkness in a remote area. Considering the pandamoneum caused by the Oblivion Crisis, it's easy to see how he could have slipped right in and remained hidden.
The story works no matter what stage of the main quest you're on. You can't start playing without Uriel being dead, so the second you step out of the dungeon and head for Anvil, the barrier between Oblivion and Mundus is wide open, meaning he could enter.
Even if you beat the main quest and then go to Anvil, you could say he slipped in while the gates were open.
It works either way.