That's a good point, something I haven't really thought about before. Then again, I rarely watch The Emissary and don't remember that episode that well to be honest.
The only explanation that I can come up with is that because the prophets don't exist in linear time, creating The Sisko so he comes back, etc. doesn't need to go in an A -> B -> C fashion. Whatever version of time, if any, the prophets subscribe to, perhaps it makes sense to them.
Or maybe, their ignorance was feigned on purpose in order to slowly begin Sisko's journey and relationship with them. If they had said from the start, "Hey, Sisko, you're here! Awesome. By the way, just so you know, you had a different mom that you didn't know about, and we made YOU happen. Oh, and we made you an extremely important religious symbol and will go through some tough times the next seven years and then will spend time with us indefinitely after that", he probably would left to go work Surplus Depot Z15 on Qualor II.