If you defeat it trying to catch it (and it may apply to losing) you don't get a second chance (although that's somewhat changing), I would assume story legendarys stay till you beet/catch them but even then it's quite a hassle keep switching pokemon (so you lose without attacking) and getting back to the legendary.
that SUCKS bro, especially if you run out of balls or something and then have to either give it up or reset and lost progress. I did this with Latios in black 2, luckily i managed to catch it, but damn was that an ordeal
Caption this Meme
