Kind of a little bit of both, really. Some of the myths could turn out to be very close to the truth in the Pokemon canon, while others are just really exaggerated. In real life, most of them are the latter. Though in the Pokemon world, some myths can be clues as to the origins of certain Pokemon, etc.
Pokemon myths tend to have that same quality real myths do, in that they're mysterious. I often find myself wondering how close to actuality they really are. Pokemon myths, therefore, help to add a certain mysterious quality to the canon that I find fascinating. Personally I hope they never get verified or dismissed, so that air of mystery stays.
As for the Pokedex, well... the Pokedex is meant to be a tool for scientific research, but a lot of Pokedex entries detail urban legends and the like, so it's likely an unreliable source of information. (Thanks, Oak) Urban legends themselves, much like myths, are unreliable, so they can't be taken for fact. However they shouldn't immediately be taken for fiction either, considering they're more recent; therefore, the story has passed through less people, and is likelier to be true. Then again, stories tend to get blown out of proportion, Pokemon world or not. (I mean Magikarp Splashing over a mountain, really?) It probably depends on how believable it sounds, really; no other way to tell.