Azura created the Nerevarine Prophecy to get revenge on the Tribunal. Vrythur created the Tyranny of the Sun to block Auri-El's influence. This suggests that is possible to intentionally create prophecies to ensure fate goes down a path of your choosing, and both of these prophecies were recorded in Elder Scrolls. Now, this has plenty of ramifications on the nature of fate and whatnot.

I haven't played Dawnguard yet, so the question has to be asked who is Vrythur?

As for this I think the prophecies were recorded in the Elder Scrolls simply because they were going to happen, everybody can probably create a prophecy but unless they are actually going to happen or are really possible they probably won't be recorded into the scrolls.

Huge spoiler.

Maybe it is another form of reaching the heaven by violence.

Azura is already a god so let's put her aside. Vyrthur was so deeply raged by his so-called "abandoned by god" that his wrath reached the degree of creating a true prophecy. He did not write those sentences only for himself turning into a vampire. In fact that was possibly the rage and sadness of a whole race that lose their position on surface of Tamriel and got abused by their so-called kinsmen rose the despiration so strong that the prophecy would reach a state that it shall create a hero to fulfill it, as long as the hero would choose to do so.

It is always the strong will of one person or one group of person that starts a change, in godhood, or in prophecy.

Even though you warned me I just had to read it, and now I'm sad I did... Dawnguard sounds pretty cool so far

Isn't everything recorded in the Elder Scrolls?

Also, were they prophecies before having been fulfilled? Anyone could make a prediction - it takes a lot of effort to nurse one into a prophecy. Sure, being as insightful as Azura or driven as Vyrthur would be helpful in writing true prophecy, but in the end it's just telling a story to get someone to do something for you.