Sounds to me like they are simply not included in your packaged game.
Make sure your video files are inside the ./Content/Movies inside your project,
only then will these files be included inside the packaged game.
There is no such directory by default, you have to create one.
Again, I mean the actual movies files (mp4, avi, whatever format you are using), not the UAsset files created when importing the files.
Let me know if this helped.