In Skyrim, the player has to deal with being Dragonborn (or try to avoid the main quest if you don't want to be Dragonborn). But in fact, I feel the Nerevarine is a much more tricky hero for RP reasons, because while the Dragonborn can be anyone, the Nerevarine is supposed to be the reincarnation of an already defined historical person. We know about his life, if not in detail. We know he was a male elf who had a wife, we know he was a warrior, and although it's not absolutely clear whether or not he was a "good guy", the fact that he's revered as a saint points to it. I'm thankful that the information available is as vague as it is, and that it might also be partly incorrect.

There are several workarounds, like you aren't Nerevar reborn - just one who happens to fulfill the prophecy. Or your Nerevarine is a male heterosixual good warrior elf, which is probably the official canon anyway. Or Nerevar/the Nerevarine doesn't care about race and gender. Or that Nerevar's spirit is reborn doesn't mean that his personality is. Or you don't do the main quest.

Being someone reincarnated annoys me a little bit as a roleplayer, but also provides some challenge, so I decided to make my Nerevarine gay just because. I've been reading up on the sources, and from what I can see, his marriage could very well have been political; Vivec mentions that Almalexia had lovers.

So how do your characters relate to the Nerevarine prophecies?

Depends... but first I should say MW's main quest is for me the only main quest in TES series which I could probably do again if I wanted so. But so far, only one of my characters was in fact the prophesized Nerevarine. The others either completely ignored their orders and were instead just happy that they're free, or there were some that tackled the prophecy but weren't too much interested in fulfilling it. Note that I didn't have a lot long-lasting characters in Morrowind either. However, my female Bosmer thief (former prosttute) by a name of Ninimdes, decided to follow Caius' orders and was eventually recognized as the Nerevarine. However, with fame came responsibilities and with time Ninimdes regretted her decision and decided to follow her own path. She became a master of the Thieves Guild and this is where her story ended... I stopped playing MW at that time and when I returned much later, I felt like starting a new game which I did. I didn't truly RP with Ninimdes either, I was too occupied with her skills and leveling... once I discovered the art of roleplaying and learnt not-to-care about skills & stuff I realized that my only Nerevarine was a 'walking shell' without some deep personality.

While typing this I remembered I had another character before Ninimdes who was on her way to become the Nerevarine. An Imperial agent by a name of Astoria Aventus, she was sort of seducer and used her silver tongue to make herself popular and welcomed wherever she went. She was following Caius' orders as well but I don't recall exactly why I stopped playing her. It was either some other game that attracted me and I left MW or perhaps I wasn't too satisfied with my playthrough so far. Astoria was quite educated and she hoped for herself to be proclaimed as Nerevarine, she enjoyed being recognized and respected while on the other hand Ninimdes who was unschooled and naive, never completely understood the whole prophecy and why it is so important. It was only with time that she realized that saving a nation relies on her and at the same moment her role as a savior didn't appeal to her anymore.

That said, I've never finished main quest in Morrowind. For now.