Recursive multi-step forecasting is usually framed as distribution shift: models are trained on observed histories but deployed on their own predictions. We show this framing is incomplete by proving that, under partial observability or state truncation, recursive rollout is also an epistemic underidentification problem. Even with deterministic latent dynamics, one-step Bayes supervision identifies behavior only on observed contexts and need not identify the deployed recursive predictor once rollout queries self-generated induced states whose correct local targets are not determined by numeric state alone. We formalize this with induced states Z and provenance variables P, and derive a decomposition of induced-state error into teacher-forcing/rollout mismatch, representation--class approximation, and provenance information gaps. Empirically, we show that rollout enters a distinct induced-state regime, that fixed induced states define a distinct local corrective task, and that closed-loop gains arise not only from local adaptation but also from changing the induced states visited during rollout. Using a simple binary provenance encoding, provenance-aware correction can further improve performance, though gains are conditional rather than uniform. These results recast exposure bias as reasoning under self-induced epistemic uncertainty.