Why are we not allowed to have movies on our site if there are hundreds maybe thousands of movies on Google Videos, Youtube, Dailymotion etc.
Video sites don't check every video they put up for copyright violations. If a copyright holder complains, they take the video down, and sometimes they ban the person who posted it. In that case, the video-sharing site has some protection because it's not expected to check all the videos and its users are required to accept ToS's saying that if they upload illegal content, it's their own fault. What you're talking about isn't a video sharing site, though. You would be the only person posting, so of course you would be expected to check the copyright status of all the videos you posted. So it's not about not being allowed to have movies on your site. You're not allowed to have COPYRIGHTED movies on your site WITHOUT THE COPYRIGHT HOLDER'S PERMISSION. If you're willing and able to check the copyright status of every movie you put up, and you make absolutely certain that all your videos are not under copyright or you get the copyright holder's permission, then you can have movies on your site.
Because its copyrighted material, by google not allowing you to do it they prevent a lot of difficulty for themselves.
When you buy YouTube and Google you will be able to run AdSense everywhere. Until then, showing ads on sites with (maybe) copyrighted content is not allowed.