Not any more so than other characters.
Kosh tells Sheridan that early on, when Sheridan is just learning the truth about the Shadows. Later on, when Sheridan leans on Kosh to bring the Vorlon off the bench and into the war, Kosh tells him that he won't be able to support him on Z'ha'dum. Sheridan repeats his earlier "If you go to Z'ha'dum, you will die." back to him, and Kosh emphasizes, "Yes. Now."
This isn't prophecy, these are warnings. The homeworld of the Shadows is an incredibly dangerous place. Kosh telling him this is informing Sheridan that it's a suicide mission. Kosh being able to protect Sheridan made it slightly less of one. So, not likely to be prophecy.
The most prophetic things Kosh puts out are the visions he gives to Sheridan. So it's still possible. Those visions, however, could also simply be explained as metaphors, about things Kosh already knows for fact, rather than any sight on the future.