Most Nords seem to take Sovngarde pretty seriously, and I don't see any signs of prior non-belief in dragons either. There are dragon burial mounds all over the landscape, dragon word walls, there's even a dragon skull mounted on the wall in Dragonsreach.
I am sceptical of Esbern's level of knowledge and understanding of the Thalmor's agenda. Sure, he's a Blade, but all that means is that he would have been privy to some of the rumours and speculation of that organisation. And the one thing we can say with certainty about the Blades' knowledge of the Thalmor is, it wasn't good enough.