Your theory assumes memory is the same for all races, which takes us back to the 'Human with cosmetic changes'. Such creatures' brains would have to have a cell death and regrowth process, which would mean that memories would be lost with the passage of time as the brain renews itself.
There's also the issue of involvement. Sure, an ancient creature could have been around in Roman times, but what was its life back then? If it was young, still living with its parents, it might have seen a Legion on the march or overheard its parents discussing current events, but that's it.
For example, I remember the Six Day War, but I had no idea who was fighting, where, or why; I just recall the name and the pictures in the paper.
This could explain why there are dusty tomes with terrible secrets written in them: because they long-lived creatures know their memories are fallible, and they keep notes against future need.