Interesting question, so i took a quick look at the engine source and found this:
so it is possible:
u find few things when u search for the IGameMoviePlayer on google 
Please let me know if u got this working or not, i might use this to in the future.
edit:
Seems latest version (got 4.9 installed) of ShooterGame using the movie player in the ShooterGameLoadingScreen module