I know Jmonkey is a gaming engine but can we also create animated movies in it?
Sure why not. You can render 3d scenes and animate them. Only in the same way you could do it with any other game engine, unity, unreal, that sorta stuff. As far as I know there is no built in way to capture both audio and video so you might have some extra work there - the VideoRecorderAppStatedoes does not capture audio if I remember correctly.
Not sure why you’d want to though - features for this kind of thing in Blender and other software are far better suited.
That is what Cinematics are there for!
The wiki tells you, how to use them.
Thank you very much, your answers are very helpful.