Yes there were older pokemon movie (see here for details: http://bulbapedia.bulbagarden.net/wiki/Lugia_(Pokémon)#Lugia_.28movie_2.29). These was during the Johto adventures. I'm not sure why there was a movie with a baby Lugia, but legendarie (excluding Manaphy with breeds to make a Phione) can't breed.
So, bottom line, it was an older pokemon episode and Team Rocket was trying to nab Lugias child, and you can't forget, they're multiple Shaymins and the Anime and Video Game are two different branches of the Pokemon tree. And besides, legendaries have to continue living some way, don't they? XD
Hoped this answered your question!