Because PGE1 has many errors (many things there have been retconned) and is biased towards Imperial views.
Always take PGE1 with a grain of salt.
Well it's definitely biased towards the Imperial view, though that doesn't really pertain to the existence of the Wild Hunt.
It is biased to call the Wild Hunt a barbaric throwback of an already primitive society, it is biased to call the Wild Hunt a glorious sacrifice granted by Y'ffre to protect the Bosmer. Describing it's existence however isn't.
PGE1 tells us that Bosmeri are able to adapt the form of an animal or of water. Why is it that we don't see any of this in the games?
I don't know. But I can think of a few reasons.
It doesn't seem to be an individual ability, it also doesn't seem to be reversible. Both make it rather impractical to grant the player this ability. It also hasn't been relevant to any setting or story yet so it's not that important to get it into the game.