However, the game does have a "Movie Theater" located in the Monkey Mansion. You can access this by visiting the Monkey Mansion after you've captured a certain number of monkeys. You can then watch cutscenes and other videos you've unlocked throughout the game.
Maybe you're thinking of a different Ape Escape game? Perhaps you're thinking of a mod or a fan-made feature that doesn't officially exist within the game.
If you're looking for something specific, please provide more details!