In that world, Talos lived thousands of years ago. Whatever is written about him is written either then, or since. The fact that the Thalmer banned Talos-worship because they dispute the fact that he's a divine also proves a point, namely that things are not as "obvious" in the game as you make them out to be
There are many people in the games that don't believe in the divines because they haven't seen proof of them. Many worship the Deidra instead for this reason. Just because the player always gets to play as the chosen champion of the gods doesn't mean that everyone "believes" in their existence like you/your character does. That would be like saying "It's OBVIOUS that God exists" if you're the Pope. You're not exactly representative...
Let me quote NPC's after seeing the Dragonbron absorb a soul: "I never would have believed it if I hadn't just seen it" (or something like that). Most "people" thought dragons and the dragonborn are just a myth/legend. Until they were proved wrong. See the connection?
I can't believe we're discussing fictional religion...no wonder I don't have a girlfriend. /tactical facepalm
As for the Souls-thing...it's an RP choice. Part of RP-ing means not always taking the most practical course. I/my character, don't like the practice of absorbing somebody's soul and consuming it for the sake of powering an enchantment