Well, before the CI part you're not the Chosen One;
Have you, by chance, skipped the initial dream sequence during which you're explicitly told by a Daedric Prince that you are the Chosen One...?
I only watched it once ( but I think I skipped it mid-way ). Yes I see what you mean, but then there are apparently at least 5 other guys who also dreamt of Azura before, and see where they are now ?
"Welcome, Incarnate. I am Conoon Chodala. I was not the one. But I wait and hope. Ask, and I shall tell you my story."
"I was an ashkhan. I led my people against the Akaviri while the Cyrodiil dogs fled before them like kagouti. I quested deep into the strongholds and Red Mountain, cleansing the unclean things in their own blood. I did not heed the counsel of the women, and, to my shame, I craved glory, but never saw my real enemies. My axe and boots are yours, with my blessing."
"I have failed. I was not the one."
"Welcome, Incarnate. I am Ane Teria. I was not the one. But I wait and hope. Ask, and I shall tell you my story."
"I was a holy crusader of the Temple in the golden era of the Tribunate. I contributed substantially to the writings that were later suppressed by the Temple, and now would be called apographa. I followed the Tribunal unquestioningly, to my regret. I never believed in the Nerevarine prophecies until it was too late. Take my humble possessions, with my blessing."
"Welcome, Incarnate. I am Idrenie Nerothan. I was not the one. But I wait and hope. Ask, and I shall tell you my story."
"I lived in the late years of the Tribunate, and behind the scenes, I helped us demoralize, then repel the Akaviri invaders. I knew nothing of the Nerevarine or Dagoth Ur until I took refuge with the Ashlanders. I died a fool, trying to loot ruined Kogoruhn. Here. Take these. Maybe there's something in the world left worth stealing."
"Welcome, Incarnate. I am Hort Ledd. I was not the one. But I wait and hope. Ask, and I shall tell you my story."
"My story — I died four hundred years ago, in the last days of turmoil and unrest after the Empire came to Morrowind. I was a thinker, and not a doer, and though I was marked by the stars, I was not a hero. Take these things of mine. My bones won't complain."
"Welcome, Incarnate. I am Erur-Dan. I was not the one. But I wait and hope. Ask, and I shall tell you my story."
"I saw Morrowind fall to the Empire. I lived through the humiliation of the surrender, swore hatred and vengeance against Imperial and Tribunal alike for their betrayals. In later years, I despaired, and turned to Red Mountain, where I grew old and died fighting the blight and Red Mountain monsters. Take my weapons and armor. I have no further use for them."
"Welcome, Incarnate, Moon-and-Star Reborn, Hortator, Nerevarine, Mourner of the Tribe Unmourned, Redeemer of the False Gods. I am Peakstar. I was not the one. But I wait and hope. Ask, and I shall answer, if wisdom guides me."
"I am a failed Incarnate. So are all these who remain here with me in the Cavern of the Incarnate. I survived the blight, but I fell in battle with an Ash Vampire. I could not master the arts of war. Nor could I learn the ways of the Great Houses. They would not have accepted me as Hortator. Take these few poor things... they are of no use to me."