Only a hunch but I'd say it happens when its first encountered and not mentioned.
Think about the mentioning of it like being the sprite you see outside of battle for every other legendary. Only when you trigger the fight does the nature/ivs get set.
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Who is right?
SuperErinMan or Cantab?
Well, what I've done so far is soft reset right before walking into the Pokemon Fan Club and getting the pokedoll for the mimic girl and then what I do is walk in, obtain the doll and exit and have Steven talk to me and then from there I track down Latios. It's rather time consuming so if there is a quicker way to keep checking it's stats/nature/IV's, I'd like to know of it. lol I hate my current method right now. lol