No, it means the thread of prophecy is severed for you. The failed incarnates also "severed the thread of prophecy" through their actions or inactions, even though they showed promise.
The Nerevarine prophecy MUST be fulfilled, that's the whole point.
Again, it's a metaphor for playthroughs. Your character becomes a failed incarnate when you stop your playthrough before finishing the main quest. If you fuck up and need to reload, that's Nerevar reincarnating and doing it all over again offscreen. The players are Nerevar, the characters are incarnates. You get it now?