Please always post complete error messages and Engine version number, otherwise it’s impossible to say what’s happening. In your case, either AvfMedia is not enabled, or the file extension of your file is not supported. You can find the list of supported file extensions in AvfMediaFactoryModule.cpp, StartupModule(). In 4.14 it currently is:
SupportedFileExtensions.Add(TEXT("3g2"));
SupportedFileExtensions.Add(TEXT("3gp"));
SupportedFileExtensions.Add(TEXT("3gp2"));
SupportedFileExtensions.Add(TEXT("3gpp"));
SupportedFileExtensions.Add(TEXT("ac3"));
SupportedFileExtensions.Add(TEXT("aif"));
SupportedFileExtensions.Add(TEXT("aifc"));
SupportedFileExtensions.Add(TEXT("aiff"));
SupportedFileExtensions.Add(TEXT("amr"));
SupportedFileExtensions.Add(TEXT("au"));
SupportedFileExtensions.Add(TEXT("bwf"));
SupportedFileExtensions.Add(TEXT("caf"));
SupportedFileExtensions.Add(TEXT("cdda"));
SupportedFileExtensions.Add(TEXT("m4a"));
SupportedFileExtensions.Add(TEXT("m4v"));
SupportedFileExtensions.Add(TEXT("mov"));
SupportedFileExtensions.Add(TEXT("mp3"));
SupportedFileExtensions.Add(TEXT("mp4"));
SupportedFileExtensions.Add(TEXT("qt"));
SupportedFileExtensions.Add(TEXT("sdv"));
SupportedFileExtensions.Add(TEXT("snd"));
SupportedFileExtensions.Add(TEXT("wav"));
SupportedFileExtensions.Add(TEXT("wave"));