There's 3 Universes/Realities in DBZ, The one Future Trunks comes from, the main one, and the one that Cell comes from. They remain very similar to each other but there's a few differences in each, such as Cell killing Trunks and stealing his Time Machine, or the creation of Android #19. The majority of the movies took place in the other universes, but a few (such as Dead Zone) took place in the main universe, as did Garlic Jr.
I think the reason they wanted this saga in was because they wanted to show what happened while Goku was on Yardrat, instead of having him on Namek and then immediatley back on Earth where he explains what he was doing while he was away.