My interpretation after thinking about it is that the prophets knew Sisko would show up and help them win their battle against the Wriaths. But, they did not understand the linear experience. Perhaps after Sisko explained it the knowledge radiated to their past and future.
It is clear that although the prophets don't experience time linearly they are subject to linear events. Otherwise the wraith who possessed Keiko wouldn't have thought his plan might work, and Winn would not have been able to interfere with their ultimate showdown. They just see all those linear events as a whole from a distance, without understanding the way it motivates Sisko's decisions.