Hi friend, i was having the same problem for some time and this is the solution i found:
Go to the “Project Settings”
Add the directory path of your movies folder on “Additional Non-Asset Directory to Package”
Check the option “Exclude movie files when staging”.
Now, all the movies will be on the pak file. I suggest you test a little to see if you added all of them and if they are working correctly, but with me all them worked with no problems.
A huge thanks to “bhn_nirab” who posted this solution on Reddit ^^