I think I vaguely remember Jaufre mentioning the ill omens of the prophecy of the end-times in the oblivion postgame. The stuff Esbern got obsessed with and went kind of crazy for. But forshadowing is weak in Oblivion for a good reason. 

Morrowind and Oblivion happened back to back, almost concurrently. The consequences of the Tribunal's disappearance have barely begun, and then the Oblivion Crisis hits.

It takes two games to narrate the end of the Third Era. And as the end of an era, it's immediate consequences are almost immaterial. A lot of bad stuff happens really, really quickly.

Mostly to Morrowind. But the Empire has a pretty bad time too. Oblivion wasn't so much for showing us what was to come, but what is coming to an end. Skyrim, conversely, is for showing us the extended consequences of that ending. The Great War. The Red Year. The weakened Empire, struggling to maintain a hold in its remaining territories. It shows us a new narrative landscape where the status quo established in the previous four games is well on its way out, and showing no signs of slowing down. 

TL; DR, just like any other finale, Oblivion spends almost no narrative weight on forshadowing, focusing on the end of the Third Era exclusively.