I found a Celebi in Mystifying Forest, but it did not join my team. Will I need to start from my last save point, or can she/it be recruited?
The next time you go through the dungeon again, she/it will reappear. Just keep trying!
Legendaries in general will respawn when you defeated them, until you befriend them. So, it doesn't matter if it doesn't join you right away. To increase the odds of joining you, make your leader hold items which increase the chance of befriending Pokemon.