Hmm. Now *I* have a question along the same lines. I have a test system I'm running, and have installed one ROM. (Double Dragon) In a "ROM" directory, I have the game called "ddragon.zip", which runs well. In a "PICS" directory, I have a screenshot of the game called "ddragon.jpg", which appears when you start Maximus Arcade and pan to the game. In a "VIDS" directory, I have a video snap of the game called "ddragon.avi", but this does NOT display instead of the screenshot, which I believe it should.
I have configured all of the Maximus Arcade settings for MAME games properly - I think - as there are separate locations available for ROMS, pictures and video snaps. Yet, I cannot get the vids to play when I start Maximus Arcade.
(I figured it would be ok to ask in this thread, considering this might occur when the OP tries to use his vids, as well, so it's not a total threadjack.)

EDIT: FIXED, and I can't figure out how or why. I had some issues running the setup program (outside of the main program, yes I know - buggy) and it wasn't holding onto the video directory. All working now!