You are opening media in ATutorialVideoWindow::ATutorialVideoWindow. This is very bad, because this code will be executed whenever an instance of ATutorialVideoWindow is created. You must know that the UObject sub-system will always create at least one instance of your class, the Class Default Object (CDO). This is why you’re seeing the error during the cooking.
Do not open media (or perform any other game relevant tasks) in UObject constructors. You are probably looking to implement BeginPlay() instead.