Well, frankly I found Picard rather OOC that whole movie even though I was entertained. That line really made no sense as the Borg had clearly NOT assimilated whole Federation worlds or forced them to fall back by the time of FC.
Unless he was talking about all worlds they'd attacked and the "we" simply referred to ALL their victims.
Up until "The Wounded" the Federation was "clearly" not at war with the Cardassians. Up until "Star Trek Nemesis", the Romulans "clearly" didn't have a slave race called the Remans. Up until "Broken Bow" there was "clearly" not a Starship Enterprise prior to Kirk's.
Just because something's not been mentioned, or the centre of a episode, doesn't mean it didn't happen. In that scene Picard was telling Lily and the viewers that the Borg were slowly eating into their territory.
Also remember that there was a whole year between GENS and FC.