I have a theory either it's because mespirit is the "leader". or Mespirit is the being of emotion so maybe since it has emotion it got upset with azelf's willpower or uxie's knowledge or got lonely in it's cave and left to roam sinnoh in depression.
that's pretty sad though, so let's just say mespirit is a happy fun spirit going around to make friends and have the best day ever! I like the other one more though.
but that's just a theory, a Pokemon theory.
Thanks for reading
EDIT Professor Rowan does say something about Mespirit playing a game. Thanks Draconic