I think part of the problem is movies have to have stakes, which means they have to have a villain and a conflict that presents a serious issue to the protags. This means it can be hard to mesh well with the pacing of what's going on in the main series, to suddenly throw in a new threat that the protags have to overcome in the whatever span the movie takes place in, and then get dropped back into the main series. How the powerlevel jumps work with that, how does the villain compare to main series villains? If the main series villain is stronger, it kills the stakes for the movie, but vice versa and it makes the main series villain look like a chump because the protags already beat someone stronger.
I don't remember the Naruto movies especially well, but it seemed like there was always some strong Ninja where Naruto has to develop a new super secret special Rainbow Rasengan or something. How the fuck is that supposed to mesh with the main series?
I'm not saying this is an inherent problem, I think you can deal with it well with careful, deliberate, and good writing. But that doesn't always happen. I think the BNHA movies are canon to the anime though, for example.