This may or may not be connected. In the options, there are two entries titled 'UFO Detected' and 'UFO Engaged'. I turned the text/pause options off, and not only did I not get the movies, but my fighters didn't even attempt to intercept!
Yep. Check your options, it may be turned off. I know you get the option not to show them when they pop up, so you may have turned them off accidently.