To be honest most Legendaries have control over that stuff, they're not the embodiment of them. Both Dialga and Celebi can travel through time, Dialga can even alter it and was the one who created it, but if Dialga and Celebi got killed there simply would be no one else to fuck with time. Some Legendaries aren't even God tier so catching Terrakion wouldn't do much harm, if you caught Zygarde and left it on your PC yes it won't be there to keep the balance after an eventual disaster, but its absence isn't automatically a problem.
Arceus, on the other hand, is THE god. Maybe you're right and the arms are the Unown, but Arceus is not the creator of one thing, it's the one who gave origin to the universe, and if a Pokéball can catch it against its will it just feels weird.