I'm under the belief that if it's mentioned in game then that's what happened until I get told otherwise by the game.
Usually 99% of rumors in TES games end up being true one way or another anyway.
From my experience.
Some things are really just NOT open for debate regardless of what we think.
Like.. "Nerevarine went missing in Akavir"
Okay that's obviously what happened regardless of what fans think (until officially told otherwise).
However we can still debate Why?, How?, When? etc.
While many rumors in TES games turn out to have at least some degree of truth in them, that doesn't change the fact that until these rumors are confirmed truth, they are still rumors.
I can speculate as to the reason why this rumor about the Nerevarine has been put in Oblivion. It's simple, in the storyline the devs have thought out for Morrowind, they are having all kinds of political problems, battles, and whatnot. But Morrowind (or at least Vvardenfell) is sort of united under the Nerevarine. He is Hortator (leader in war) of the Great Houses. Thus, should a crisis present itself, it is the Nerevarine who shall deal with it. Do not forget the Nerevarine has slain two Gods, is practically immortal, and the strongest person on Vvardenfell (with the possible exception of some characters like Vivec, Divayth Fyr, etc.). With the Nerevarine at their side, any crisis would be easier to overcome. By putting the Nerevarine out of the picture (which, by the way, happens with all TES game characters), the devs can develop all these new problems, without anyone saying the Nerevarine could easily fix this.
Bethesda makes these games, where you are completely free to decide what your character does. Only the MQ is canon and will be included in lore for the next game. But Bethesda always gives us the freedom to decide what happens to our character before that, after that, and during the process. The rumor is to remove the Nerevarine from the picture. The only thing you can gather from it, is that the Nerevarine did not help with the crisis, and is unaccounted for by most people. What is really going on, is completely up to you. Perhaps the Nerevarine is simply on Vvardenfell, but doing other stuff, hiding maybe? Or the Nerevarine went somewhere else, this doesn't have to mean Akavir.
It is also not necessarily the Nerevarine who fulfills the Bloodmoon prophecy, as this can be done by any character, without completing the Morrowind's MQ (as I recall). So in short, by adding this rumor the devs give themself a way to continue their stories for Morrowind, and the player the freedom to think of his own story concerning the Nerevarine. I can only speak for myself, but I really enjoy it this way.
/rant