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I thought they did address why Voldemort tried to kill Harry all those years ago with the "The one with the power to vanquish the Dark Lord approaches" line.While I agree that OotP continued the tradition of Potter movies not explaining important bits of exposition as far as the prophecy goes, I would argue against the notion that the prophecy is the hands down most important part of OotP. I think the film
did a great job with Harry's character, establishing and building up to the Second Wizarding War (a thread HBP didn't continue very well), and Harry and Sirius's relationship. Hell, even the minor characters, such as Neville, Luna, Ginny, Fred, and George all got some great moments and development.
That said, the prophecy was still an important plot point that was for the most part glossed over at the end, which is a thing I definitely mark against the film. They should have addressed why Voldemort went after Harry as a baby, why Voldemort wanted it now, and what it meant for the rest of the series (which was addressed, so I'll give it that). They definitely didn't even need to go into as much detail as the book though.