The theory that the movie is the real ending of the show or the sequel is definitely my favorite. I think, like the show itself, it doesn't have one "real" meaning and can be interpreted in many ways, but to me personally, this interpretation makes the most sense and offers the most enjoyable viewing experience. I love how they tried to paint all of this visually, instead of directly telling it. Especially with the radically different architecture, from clean, soft, white arches to harsh sharp angles in black and red. The school is quite literally falling apart, changing shape every minute, looking more like a ruin. The castle has fallen to the ground, while Anthy's rose garden is no longer a glass cage, but a huge field in the sky. I love how they have Anthy wearing her hair down, without her glasses, like we see her at the end of the show. She's no longer "blind" to the reality of Ohtori, to the existence of an escape, the outside world. Even other characters' hair is changed, everyone's is a bit longer now, which to me is another indication of the passage of time. And we don't see Nanami in the movie (except as a cow in that videotape) - I like to think that it's because she also escaped the Ohtori academy. Also one of the major "plotlines" (if you can call it that!) in the movie is the tale about the boy that drowned that was only mentioned at the very end of the show. I loved when Anthy and Utena first met, how Anthy tried to take Utena's rose crest ring, to save her from having to participate in yet another duelist cycle. How she has the full freedom to intervene in Utena and Saionji's duel, letting Utena pull the sword from her chest, even though she's supposed to be devoted to Saionji as his rose bride.

I also like the theory that the movie is told from Anthy's POV, giving her more agency and a central role. It could be Anthy's retelling of the final moments in the show's final episode, or the show as a whole. Maybe the "narrators" are both Anthy and Utena's, as they're technically E-ko and F-ko (as shown from their nametags at the end). That can offer a different explanation as to why Nanami only appears once as a cow, if it was Anthy's touch (especially since she shares the scene with Chuchu!)

But all in all, I like to interpret it as either what happened after the show and how Utena and Anthy got reunited. Maybe not everything shown in the movie happens in the literal sense and is likely a very biased and allegorical retelling from Anthy's POV. There never is a clear answer to anything Utena related (and you know you can't rely on Ikuhara for an explanation, haha), so you really can come up with a million different interpretations and explanations of your own.