I'm not sure why they don't try things like that. Maybe it is easier to show a movie (having organized activities is probably much more work for the teachers). I can definitely suggest that...
It's suspect it's partly because schools just don't have the indoor space. Elementary school's don't necessary have Gym's or PE rooms. At most my local Elementary schools have multipurpose rooms and they are often being used for older kids, while the younger ones have recess of vice-verse. It's really a shame.