I've been watching the FMA: Brotherhood Movie (Sacred Star of Milos), and from what I've read/what I can tell, it's set partway through the show. Is it considered canon, or is it more like the Naruto movies, where it is entirely separate from the storyline?
The script itself was not written by Hiromu Arakawa (nor did she have any staff involvement at all), and she has not endorsed it as part of canon (though she has said that she "[looked] forward to it"). Additionally, it was written after the main series had concluded, and intentionally placed in the timeline so that it would not interfere with the canon story.
Was it difficult to create a story that didn't mess up the plot-line of the show, since the show was already over?
Since the film happened in a country that the characters had never gone to and didn't go back to for the rest of the series, it was difficult to conclude it in a way that didn't affect the rest of the existing story. But, having it in such a locale let us concentrate on the story without worrying about the affects on the rest of the series. Also, I had to be careful with how much Al fell for Julia because it could seriously affect what happens in the future.
Why did you put the story where you did in the timeline?
At this time, Ed has come to the realization that he was certain Al's body existed somewhere, and he was ready to jump on the next train to wherever he could go to make that happen. So, in that time period, it was the best time for them to travel to another location if they could find a clue to the recovery of their bodies.
Among fans, I've never found any that regard this movie as canon. As it was not the original creator's intent, nor created by her, it really has no reason to exist in canon (except that it's written in a way that doesn't interfere with canon).
Given all this, I think we can safely say that Sacred Star of Milos is not officially part of the Fullmetal Alchemist canon.