I've just made this simple capx
and exported it as Cordova and into XDK.
The video just played as intended.
So as far as I can tell, everything works as it is supposed to, the error is either somehow in your projects/code or it was in releases less than r222 which is the current beta, used for that capx.
It is possible the release is in cause as r222 fixed an issue with capital letters in the URL of video, as per the changelog
Apparently it doesn't matter for cordova export to not have the "media" folder for XDK.