I've also noticed that the Dragonborn/Nerevarine... is immune to Paralysis, and the only ones who use the entire school of Illusion. Seriously, have you ever seen anyone else use Fury? How about Backstab? The only one in the game is in the Markarth Market, which you can stop if you're quick enough. You'd think with the Dark Brotherhood, Initiates, Cicero, Spectral Assassin, and Jenassa (to name a few) somebody would eventually Sneak up behind some damn body with a dagger... But no, crouch, order Jenassa, or any of the Assassin followers to kill that there Solitude Guard, and they will stand up to charge in like those Dark Brotherhood "Assassins" that randomly attack you in the wilderness. One would think, being Assassins, and all they might possibly, IDK Assassinate someone? Instead, they yell "Now you die!" and make real sure you know they're there before ninja sprinting up, and engaging with Dual Weild. No wonder the DBH is in decline...
I have no explanation for any of this, it just annoys me. I know you're supposed to be Special, and all, but I don't remember the Prophecy mentioning the Dovakiin being the only one with any damned sense.