Re: present or future
I find the first two sentences contradictory. "We were late for the film" means, to me, "We arrived late [so we missed the beginning but saw the rest". Your second sentence then says "I was really upset to have missed it" suggesting that you didn't see any of the film. The two don't go together.
We were late for the film last night. I was really upset that I missed the start.
We were too late to get in to see the film last night. I was really upset that I missed it.
Remember - correct capitalisation, punctuation and spacing make posts much easier to read.