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I think the fact they have no real presence in modern Galar IS the point. They should be the Ho-Oh, Dialga, etc. of the region. But the royal family intentionally altered the historic narrative and the mythos as a result. That's new for box legendaries, right?
It rhymes in some ways to the box legendaries of Gen IV that got remade and expanded on during the same cycle as Gen VIII. The box legendaries in modern Sinnoh are nearly unknown, to the point of physical depictions being a fusion like in Eterna City. But this is due to time, whereas the forgetfulness of Galar is something intentionally created by humans. Thats fun
As for actual origins, it seems implied that Calyrex and the Z's are connected to the giant tree in the crown tundra. The distance from the underground dynamax energy seems to imply the tree grew larger like how pokemon dynamax (or the other large tree with the giant fruit). Calyrex is able to dynamax on its own (that's why it turns blue) while the two wolves are entirely immune to dynamax energy, instead specifically able to fight it, like immunized cells and an infection