They don't invent new story lines with a new game. With Skyrim we can see there was already a prophecy that was going to happen even though we didn't know. The whole world is there but not everything is put into the games so ofcourse you hear something about Skyrim in Oblivion.
Actually, I'd imagine they DO invent new storylines with each game. I doubt Bethesda had planned out Skyrim's story from the start of the series, more likely Bethesda worked it out more recently, and then looked back at other games and decided to tie it into previous games by saying that each event from past games was a sign leading up to the events of Skyeim.
Certainly, Bethesda might have been entertaining some ideas of Skyrim's story at the time Oblivion was made, and may have dropped some hints in the game about it, just as in Morrowind there were hints to the events of Oblivion, but I doubt Bethesda had some grand plan to the series detailing every single event that would take place from Arena until Skyrim and maybe beyond, it certainly doesn't look that way.
In any case, the particular dialog mentioned was always in the game, Oblivion has quite a few rumors refering to events in other provinces, Skyrim is only one of the ones referenced.