I'll re-read it and give more detail, if this answer is insufficient (I haven't read it since about 10 years ago)... But, as I recall, there are several errors in your assumption / recollection.
- Not all people are the same entity.
- There exist higher dimensional beings that intersect the lower dimensions, and, where they do, that part of them exists as what we would think of as a living being. Think of a two dimensional plane that is encountering a twisted ribbon; there will be irregular lengths of the ribbon that intersect the place, and would look like lines along it; calling the ribbon 'time', those lines become a life; movement from one end of the line to the other is traveling thru time (living) for that little aspect of the greater ribbon.
- I believe you can confirm that they are not all the same, by the fact that Carter is surprised that HE is part of the entity that is teaching him, implying that not all people are. (I'll confirm this when I have a few minutes, but that's what I remember.)
- Parts of the same higher entity don't necessarily know about each other.
- Carter only comes to know of this aspect of reality, and his relationship to other intersections of the temporal plane (like Zkauba) via his adventure, and passing thru the gates of the silver key.
- They may be part of the same greater entity, but that doesn't mean they see eye-to-eye; you can think of it as sharing certain qualities from their higher-order progenitor, but their direct experience and culture defines them quite a bit. Think Nature v.s. Nurture.
Now, without the knowledge that Carter has gained from his sojourns to the higher-order dimensions, all that Zkauba knows is that an alien being is trying to take over it's existence. No matter what information Carter might try to convey, it's going to be hard to convince Zkauba otherwise; how would you respond if an alien intelligence suddenly showed up in your brain and said it was an alternate version of you, and demanding that you travel light years to help it get home, despite what it will cost you to do so?
To give you a feeling for their perspectives, look at this passage:
Seven day-fractions later Zkauba squatted on his prism in awe and half-despair, for the truth had opened up a new and conflicting set of memories. Nevermore could he know the peace of being one entity. For all time and space he was two: Zkauba the Wizard of Yaddith, disgusted with the thought of the repellent earth-mammal Carter that he was to be and had been, and Randolph Carter, of Boston on the earth, shivering with fright at the clawed, snouted thing which he had once been, and had become again.
Carter's story, on the face of it, is not terribly believable to anyone who hasn't experienced what he has. Zkauba's resistance isn't really that surprising, looked at from his perspective.