It's part of the chapter about the Istari in
Unfinished Tales. It's written in the fashion of a scholarly discussion of the subject rather than an actual historical account, so you may take it that when the writer says, "I do not think it is so," Tolkien is saying it isn't. It's pretty clear from the rest of that chapter that Olórin was a servant of Manwė who was selected by him to be his messenger in the mission of the Istari. If you haven't read the full chapter, by all means find the book and do so. The book as a whole is quite interesting, and that chapter especially so to wizard fans (like me
).