I've always been fond of the notion that after a time Kosh decided to end the war by turning on his own people to an extent. So rather than trying to save a portion of himself for his own kind (which may have been something Ulkesh was looking for when *he* arrived on B5), he transferred over to Sheridan and went looking for Lorien. He probably knew that Lorien was on Z'ha'dum.
This is gonna get complicated, I'm afraid, so please, bear with me.
Kosh says two things in the episode "Z'ha'dum." The first is the famous "If you go . . . you will die" line. But observe closely. Sheridan has already decided to go, and has decided to go *because he thinks he's going to die.* WANTS to die, in fact. In his message to Delenn he tells her that he's going to try to prevent the damage done to Centauri Prime that he saw in his flash-forward. He knows several things from his trip through time: one, he apparently is alive during that time, as he and Delenn have had a son, and two, Centauri Prime is in a real mess. He also knows from Kosh that if he goes to Z'ha'dum, he will die. So, here's his plan: go to Z'ha'dum, take down as many Shadows as possible, and die in the process. Thereby guaranteeing that he will not be alive to go to Centauri Prime, and possibly ensuring that Centauri Prime will not get so wasted.
So what does all this mean? Kosh's first comment in "Z'ha'dum" is *reinforcement.* He's encouraging Sheridan to go. Why? Well, let's see . . . #2 comment is "Jump. Jump NOW!" Why jump? To fall into the pit . . . what's in the pit? Lorien.
It's a rather tenuous theory, I known, but there's some evidence here. Kosh finally decides that the time has come to end the war. He knows that Sheridan is pivotal ("You are the hand," in the famous Kosh-inspired dream sequence). He also knows that he can't trust any of the Shadows or any of his own kind to help Sheridan end that war. So he brings Sheridan to the one person who would want to help him, and the one being left who's older than either one of the bickering races.
(Pant pant pant) Okay, that took a while. To those of you who made it this far, thanks for putting up with me. Now start chewing it to pieces.