well, You're gonna have to believe in your Maseeh Maood/Imam Mahdi (AS) too, right? would they be telling you about the religion of islam as exactly how its been practiced for so many years?... if yes, no point of their coming..what if he/they tell you that this and this belief in Islam was not preached by Muhammad PBUH. what then?.. a label of kafir is waiting for them as well?
Hazrat Isa (A.S) will be the masiah, and He will come after Hazrat Imam Mahdi.. Its what we muslims believe, and you will with your eyes if you lived till then..i hope you live till then..
and the arrival of these two personalities is found alot in Ahadees-e-Nabwi (S.A.W.W)..