"Mystery Zone" is a placeholder name tag for locations beyond the boundaries of those intended to be in the game. This basically means that Samurott was found in a location outside the boundaries of the game -- except it wasn't, because the "Mystery Zone" is inaccessible in all games Samurott is present in, even with cheating devices. The Pokemon is guaranteed to be hacked. Fortunately, that's really all this means for your Samurott.
People on the internet tend to exaggerate the harm or damage that hacked or glitched Pokemon may cause to your game, which, in reality, is often none. While there are certainly harmful side effects for some glitch Pokemon, hacked Pokemon are generally a lot safer unless they cause a separate error with the game. An illegal location should not cause any issues with your game. Even glitches such as Missingno., constantly blamed for crashing copies of first gen games, are almost completely harmless. There is only one permanent graphical issue Missingno. causes, which is the corruption of Hall of Fame data.
If you're curious about the Mystery Zone, you can read about it on Bulbapedia here. It's only accessible in Generation 4 and be accessed through glitches such as "tweaking" or by using cheat codes. Much of its area is black void and steeping on certain areas will crash the game. Most game functions become locked in the Mystery Zone, including main menu options, so flying out of it is usually not possible. It's possible to get stuck in the area, so it's usually recommended that it not be entered. It can, however, allow you to access locations such as Newmoon Island, allowing you to capture certain Pokemon only available in events. Generation 5 and 6 handle location data differently when the player exits an area, so the "Mystery Zone" is inaccessible, but the same void can be found through cheating and exploiting game load points.
