That the Nerevarine is talking to himself/herself makes sense to me. But I also wonder if the Failed Incarnates had a portion of Nerevar's soul instead of all of it.
I don't wanna get into this in-depth, but in TES, any soul could already be considered a portion of a greater, universal soul (which is hypothesized to be collected in the Dreamsleeve- think: a drop of water=soul; lake=greater soul/Dreamsleeve). This idea has connections to achieving CHIM and the dreaming godhead concept, etc etc. If you got questions, PM me (or one o' the other, more senior lore-buffs who probably know more than I do :bowdown: ).
Perhaps they weren't the one, but simply those who fit the signs. Hence why they failed.
Possible, but I think the reason they were chosen by Azura was because they did have Nerevar's soul (or technically, they were Nerevar, but in a different body and mind). They were incarnations, but were not Nerevarines. To be the incarnate of Nerevar is to have the same soul as him. To be the Nerevarine is to fulfill the prophesy. Being the incarnation of Nerevar and being the Nerevarine are two separate, but related, concepts.