In Macross the Zentraedi do indeed believe that, mainly because its true -- the people of the Protoculture were the creators of the Zentraedi.
The movie, BTW, is not canon, but rather its meant to be a semi-historical motion picture that actually existed within the Macross universe. That's the official explanation anyway; there's also the fact that Macross was originally meant to only be a movie and was expanded into a TV series and the movie was made based on the original movie premise.
Here's a good site for Macross info:
http://macross.anime.net
If you have access to fansubs, I highly recommend checking out the new prequel OAV series, Macross Zero. Macross 7 isn't as good, but is still worth watching if you're a Macross fan.