You unlock movies in the scenario campaign mode by completing the arena with whichever character you're wanting the ending for. Starting the arena also gives you their prologue which is necessary for gallery completion. While you can also unlock endings by losing in scenario campaign mode, these endings won't count towards this achievement. It's because of this that I strongly suggest you unlock a movie through the arena before attempting to do that as you would have to delete your save in order to pop this if you had already earned them all I'd imagine.