You have to make sure that your layout has a video box defined in it. If it doesn't, your video won't show up. Also, did you set up the videos folder in the Mala configuration?
If you want to define the video box over top of the snapshots, just use the mala layout editor, and add it in. Draw a box over top of the snapshots box. This way if there is no video, you will still see the snapshot.
Good luck!
Also, to note, i've heard a lot of people have problems with videos playing in the background during gameplay (i.e. mala not stopping videos before launching the game). Not sure if any of this is true, but I just avoided using videos myself for the moment. They just take more room up on the HD that is better spent on games.
