I know exactly what you mean, TC. It's a concept called foreshadowing (apologies if you already knew this term, but when I first heard it, it just made so much sense for this problem I have with DLC) and it applies to things like Joshua Graham being mentioned in NV before appearing in a DLC. I have to admit, it's not as bad in Skyrim as it is in some other games, but yeah, some sort of mention of "the first Dragonborn" (who I'd always assumed to be Tiber Septim) really would have made the whole retconn thing a lot more bearable.
Yeah, thats what im talking about (just didnt say the word). A little foreshadowing would have been nice. Just so these huge, world-changing events didnt seem to just come out of the blue and feel "cheap".