Here’s a quick tutorial to double check when setting up the media player to work on a material you didn’t skip over anything. Also don’t forget to call “Open Source” in you level blueprint off of begin play. You should be able to place it on a mesh in the world, but I don’t think the media player will work in the mesh’s window.
Setup media player on mesh material: How To Play A Video On A TV With Sound - Unreal Engine 4 Tutorial - YouTube
Open Source documentation: https://docs.unrealengine.com/4.27/en-US/BlueprintAPI/Media/MediaPlayer/OpenSource/