Thurrle; most of us are not using xlights to run our shows. The last time i used it was in 2012. The Falcon Player using a raspberry pi is where most are now running the show. It frees up a computer, can run more channels (80K), has 1080p HDMI video.
The ability to launch a video was created by Matt Brown all the way back in 2011.. I used it in 2012, let me see if i can duplicate what you are seeing.
It is supposed to launch the windws video player when you run the sequence.