A character is Shrouded In Myth because they deliberately set it up that way.
Bob The Great is a hero of legend, Shrouded in Myth and Famed In-Story throughout the land. But when Alice finally meets him, she finds out, a bit to her disappointment, that he's not really eight feet tall, stronger than a dragon and able to leap tall buildings in a single bound. He may be able to do some unusual and awesome things, but he's not at all what the stories made him out to be. "Oh, well you see," Bob explains when she asks, "all those stories about me? Well, not all of them, but about half at least, I made them up. Figured as long as people were going to be telling tales of me anyway, they may as well be good ones, you know?" A Self-Made Myth is a character who actively works to intentionally create a mythical reputation for themselves. They can do it for various reasons, the most common being to make people think they're awesome, or to make people think they're scary and want to leave them alone. Do We Have This?
- The Riftwar Cycle. Macros The Black cultivated the legend of the Black Sorcerer to protect his own privacy and solitude. (And after Pug takes up the mantle of the Black Sorcerer, he continues using Macros's methods to keep people who don't know the truth away.)
- The Kingkiller Chronicle. Kvothe came to the University under unusual circumstances, being very young, very intelligent, and too poor to afford the usual tuition. He knew from the start that people were going to spread rumors about him based on that alone. So, being a trained actor and performer, he decided to take an active hand in creating the legend of Kvothe, so that when people talked about him, they'd at least be saying impressive stuff.
- Some portrayals depict Batman this way, particularly those that focus on him as "The Dark Knight:" actively using theatricality to build an intimidating legend around himself so that criminals will be afraid of him even before the confrontation begins.
Hello, Unknown Troper. You'll need to get known to lend a hand here.