Half-Blood Prince (the book) opens by revealing that the Prime Minister is among the Muggles who are permitted to know about the Wizarding world; he's kept abreast of relevant developments, like escaped murderers, by the Minister of Magic (emphasis mine):
[I]t had been like this from his very first meeting with Fudge on his very first evening as Prime Minister. He remembered it as though it were yesterday and knew it would haunt him until his dying day.
He had been standing alone in this very office, savoring the triumph that was his after so many years of dreaming and scheming, when he had heard a cough behind him, just like tonight, and turned to find that ugly little portrait talking to him, announcing that the Minister of Magic was about to arrive and introduce himself.
Naturally, he had thought that the long campaign and the strain of the election had caused him to go mad. He had been utterly terrified to find a portrait talking to him, though this had been nothing to how he felt when a self-proclaimed wizard had bounced out of the fireplace and shaken his hand. He had remained speechless throughout Fudge's kindly explanation that there were witches and wizards still living in secret all over the world and his reassurances that he was not to bother his head about them as the Ministry of Magic took responsibility for the whole Wizarding community and prevented the non-magical population from getting wind of them. It was, said Fudge, a difficult job that encompassed everything from regulations on responsible use of broomsticks to keeping the dragon population under control (the Prime Minister remembered clutching the desk for support at this point). Fudge had then patted the shoulder of the still-dumbstruck Prime Minister in a fatherly sort of way.
"Not to worry," he had said, "it's odds-on you'll never see me again. I'll only bother you if there's something really serious going on our end, something that's likely to affect the muggles - the non-magical population, I should say. Otherwise, it's live and let live.
Harry Potter and the Half-Blood Prince Chapter 1: "The Other Minister"
Although the Prime Minister's ability to react to these threats is pretty limited, being able to at least warn the general population is an important way to help mitigate muggle casualties. This is, presumably, why the muggle press was reporting on Sirius' escape at the beginning of Prisoner of Azkaban.
Since Half-Blood Prince was released in 2005, and the Order of the Phoenix film in 2007, the filmmakers likely presumably assumed that anyone watching was familiar with the text.