What app are you using?
Normally playing video will disable auto-lock till the video is over. I use Downcast for video podcasts and my iPad does not auto-lock while playing video. You may want to try Resetting the iPad which can fix many issues.
From the Home screen double tap the Home button to view the multitasking bar at the bottom. Tap and hold an app at the bottom till the icons wiggle with the minus button visible. Tap the button to close all apps then tap the Home button to get back to the Home page. Press and hold the Sleep button till you see the Slide to power off message and power it off. Once powered down completely press and hold the sleep button till the Apple icon appears.
Thanks for your reply Stephen
I am using the Podcasts app.
I have done what you said and have found that if I watch the video on the iPad itself then the auto-lock has no effect. However when I switch to using airplay to stream the video to my Apple TV (3rd Gen) then the video stops playing after the time that the auto-lock is set to activate. (Apologies I realise now that I should have mentioned that I was using Airplay in my original post.)
I have found this to be an issue with some apps but I would also assume it is a poorly written app. You would think that Apples app would get it right.
If you are into Podcasts I would highly recommend Downcast which I can confirm works great for AirPlaying content. It is a much better podcather and well worth the money.
Otherwise send Apple Feedback a note and hope it is fixed in an update. https://www.apple.com/feedback/