Yes, Sailor Moon didn't exist during the Silver Millenium. She was created in the 20th Century. Perhaps, when Queen Serenity sent everyone but herself to be reincarnated in the future, she figured that her daughter would need to fight to defend herself at some point (knowing that Dark Knigdom had not been completely and permanently defeated) and so must've equipped Luna with a new Transformation Brooch for the princess to use and awaken as Sailor Moon, the newest Sailor Senshi who did not exist until Usagi first became her.
However, Luna's memories of the past hadn't fully awakened, so her memory of the Sailor Senshi was a little fuzzy. She knew that there were four Senshi in the past. She just didn't remember that there was no Sailor Moon at the time. Which is why they suspected Sailor Venus of being the princess at first. And, Luna's memory of the pricness hadn't fully returned either, so she wouldn't know that Sailor Moon, who hadn't existed in the past, could be a candidate for the Moon Princess.
The Holy Fonz wrote:
Although the Sailor Senshi didn't learn that they were Princesses of their planets until that episode either,
This is incorrect. The anime never made the acknowledgement of the other Sailor Senshi being royalty of their respective planets. Usagi and Mamoru are the only royalty soldiers of the Solar System Sailor Senshi in the anime.
The manga stated they were royalty, but the anime neglected to.
I think there wasn't a Silver Millenium Sailor Moon for the reason that there was no need for one. They had soldiers and the Guardian Senshi so there was no need for a Sailor Moon.
On the other senshi being royalty in the anime yes it was not said flat out but it was heavily implied.