There is actually a bug in version 4.6.1 that either won’t play the movie, will play 3 seconds and then skip it, or will crash the engine. I have not seen any updates on this recently, but I would try downloading 4.7 preview 2 (make a copy of your project for backup!) then convert it to the new version, then try again.
What format is your video, is it encoded in h.264? If not try encoding it with that format as it fixed at least one user’s issue on AnswerHub.
I will edit this post with some more info on this if I can find it again, but this issue has been reported and reproduced internally by Epic a few weeks ago.
EDIT: Here is the latest update from Sean Gribben on December 22nd, it appears to be fixed in version 4.7:
Sometime ago there was another user with a similar problem. He shared his video and the problem was that looks like unreal engine (until 4.5.1 at least) doesn’t want to replay videos other than 720p ones. That video was 1080p and was directly ignored by the engine.
Don’t know if maybe it’s the same problem you’re having… hopefully yes and you can just fix it by reencoding it at different resolution instead.