IF you are playing videos to an external Monitor or projector during a show:
I haven't tried it with Xlights 4, but last year I played multiple videos in my show using Xlights 3 by adding a playlist for scheduler to run. In that playlist you add sequences and videos ( format I used was .wmv) in any order you like. XL3 controlled the Lights through my controllers and played the videos through the external monitor connector. The video output was to a 30" monitor from the PC HDMI output connector.
The pi played this with no issues also. Looks to be the same in XL 4.