Thats always been the case. The game has "checks" for every mon. Pkhex allows you to check any mon you want so it gets registered on your Dex (like events, legendaries, Zygarde cells, etc)
I suppose PKSM dosnt do it, so for the game they are there but they are not checked on your Dex. Again, thats always been the case (even for old PkHex versions)