I made an example a while back for someone to show how to have a loading screen between levels.
I've modified that to show a video on the loading screen.
https://dl.dropboxusercontent.com/u/905 ... evels.capx
I've not included any actual videos, but if you add videos in the appropriate format and call them "video1" & "video2" it should work.
Currently it tries to play a video, detects there isn't one (error) and goes to the next layout.
You can find more info on using videos here