Movie is a narrow scope word - it always refers to the films that are shown at the cinema (or movie theater), or later you can watch them on TV but then it's just a movie, not a film
Film is a broad scope word with several different meanings. So with film you have to be more careful how you use it. All of your sentences, except number 2) I went to films, are unambiguous.
A film is a thin layer or coating of something. That is what is has meant traditionally, until movies became so very popular. The reason movies are also called films is because they are printed on a thin film of a material called cellulose (highly flammable!). The cellulose film has another film made of chemicals on it that when exposed to light, produce an image. The film is removed from the camera and developed (dipped in chemicals to fix the image on the film so they are no longer sensitive to light), and then it can be viewed with a movie projector. Movies are still made this way but photography no longer uses cellulose film, it's 100% digital now.
Sentence 2 is also ungrammatical. You could say, I went to film something, meaning you have a movie camera and used it make a movie of something, let's say the dogs playing with a ball. Fine. You can use this verb (to film) for recording video as well. But film also functions as a noun - to mean a movie, or a thin layer or coating of something. But people don't say, "I went to the films." They would use 'movies'. But they might say, 'I'd like to see a film tonight' or "Do you want to see a film?" And if you use film this way, you're probably going to a movie theater, not watching a movie on TV or online.
So a film can be of almost any kind of a material. Context is king. When you use the word film your sentence has to be clear about what you're talking about, the verb to film, or the noun, a movie you watch in the theater, or a layer of coating.