Hi Dimaxum,
When I add a movie with the extension MPG-4 the only thing I see is a Picture without the frame.
What "frame?" In MS Word, double click on the "Picture" and the player controls will show and the movie automatically plays.
When I do SAVE AS ... in PDF I see only a Picture of the inserted movie ... without the movie frame so that you play it.
I have not done what you desire however I did a test and got similar results, i.e., picture of the movie only. One way to get the movie is to added it to the PDF using the Acrobat >Multimedia >Add Video tool. Once the tool is selected, draw a frame using the "picture" as a guide. The Insert Video window will popup for you to choose your movie document. Check the box next to "Advanced Options" to set when it plays.
The Microsoft Community might have a simple method to do what you desire.
Hope this helps and Good Luck! 😉