How to play a mjpg stream?

I’m trying to receive a mjpg stream in unreal with the Stream Media Source asset. For testing purposes I’m sending out a mjpg stream on localhost and if I access it VLC player everything works fine. However in Unreal I get an error message that the data type is not supported:

According to the release notes mjpg should be supported (Unreal Engine 4.15 Released! - Unreal Engine)

“New: Wmf Media: Added support for
Motion JPG (.mjpg).”

Does anyone know how to fix this problem? Do I have to somehow manually add mjpg to Unreal?