I just encountered this too, fortunately on a presentation with only two videos.
Videos embedded in existing and new Keynote presentations stutter and lag when presented with Keynote 9.0.1 in full screen on my MacBook Pro (I haven't been able to test on an external monitor yet) *unless* the MBP's screen resolution is to the lowest (i.e. "Scaled">"Larger Text").
I'm running Mojave 10.14.4 on
MacBook Pro (Retina, 13-inch, Late 2012)
Processor 2.5 GHz Intel Core i5
The same videos play smoothly in Keynote's Navigator view, and also play smoothly in fullscreen at any screen resolution in QuickTime Player and in Powerpoint. They also play smoothly in fullscreen at any screen resolution if I downgrade to Keynote 8.3: the problem definitely seems to be due to Keynote 9.0.
If you're backing up with Time Machine, switch off automatic updates from the Mac App Store, go to your Applications folder, use Time Machine to skip back to March and restore the older version of Keynote (8.3).
Obviously this isn't a tenable long-term solution (and is no solution at all if you're not using Time Machine) so we should also notify Apple Support directly in the hope of a quick bugfix.