All vampires in Skyrim are Volkihar.
Nope. The "Immortal Blood" book which is where we first learned of the Volkihar, specifically mentions that the Volkihar are the most powerful Vampire Clan in eastern Skyrim. Key words here, "most powerful clan", and "eastern Skyrim". Nowhere was "only clan in Skyrim" ever mentioned. Which means there's more than one clan in Skyrim.
I'll admit they do seem confused about their identity i don't know maybe it's a group of vampires from all the differnt provinces they seem to have newer powers then most, It has been suggested that there are over one hundred different kinds of Vampires in tes lore i remember reading that somewhere most are unnamed or assumed consumed by the order.
It's been confirmed that the Vampire Clan shown in Dawnguard, is indeed the legendary Volkihar. The leader, Harkon, has also just "returned". I don't think it's a mere coincidence that the Volkihar learn to transform into a Paragon Form at the same time that Harkon has "returned" from somewhere. I'm thinking he made a journey and made a pact to gain the power.