Change the region to see certain movies that are not in my country

You would need to change the region of your Apple ID. But note, you will need to provide a payment method for the region you wish to change to to validate the change.

See here: Change your Apple ID country or region - Apple Support

Correct. You cannot do so from the iPhone without actually changing the region for your Apple ID.

If you need to see content from other regions you need to change the region for your Apple Id, no way around this.