If you listen to Serana she has been a vampire since sometime in the first era
I strongly disagree.
Her mother's laboratory is filled with books from the early third era, and she even mentions the Windmill in Solitude. I can buy a Windmill, revered as a local landmark, lasting a thousand years if well taken care of, but not.. what is it.. 3,500 years or so?
Her surprise at there being an empire may not be specific to there
ever having been an empire
at all.
My guess is that she was turned some time in the early to mid second era. In the first half of the second era, the Second Empire (that being the Reman Empire, the first being the Alessian Empire) was led by the Akaviri potentates. Upon the assassination of Savirien-Chorak, the last potentate, the empire collapsed entirely. This period is known as the Interregnum. The empire was no more and this period was characterized by bickering between separate kingdoms. This actually fits in with Harkon having been a rich and powerful ruler of nearby lands.
It was not until five centuries later that Tiber Septim conquered and united Tamriel once again, founding the Third Empire. This would allow a space of time for Serana and her family to spend "centuries" at the castle as she noted. This span of time is also large enough that she was perhaps never alive during the time of the Second Empire, and would indeed be surprised to find that an Empire had once again been founded. That would be like one of us going into stasis for medical reasons, and being awakened centuries later, only be told that the Roman Empire is a major political force in the world.
I find the timeline makes a lot more sense if we place her as going into Dimhollow some time in the late Second Era.