The issue of ApplyTemplate

     The issue is that the ApplyTemplate method is not called in the order you are expecting.  This appears to be a known issue and there is a work-around.  If you manually call ApplyTemplate() in the Loaded event of your control, the template should be applied and the video should play.  I applied this work-around to your code along with a few other minor-tweaks and it worked correctly for me.

Also, as another suggestion, I would strongly suggest that you convert setSource to a dependency property.  You can read more about dependency properties here.

customControl.cs

public class customControl:Control
{
    private MediaElement _vidStage;

    public customControl()
    {
        this.DefaultStyleKey = typeof(customControl);
        this.Loaded += new RoutedEventHandler(customControl_Loaded);
    }

    void customControl_Loaded(object sender, RoutedEventArgs e)
    {
        this.ApplyTemplate();
    }

    public override void OnApplyTemplate()
    {
        _vidStage = base.GetTemplateChild("vidStage") as MediaElement;
    }

 ...

public Uri Source
{
    get
    {
        return _vidStage.Source;
    }
    set
    {
        if (_vidStage != null)
        {
            _vidStage.Source = value;
           //_vidStage.Play();
           // For some reason, the video wouldn't play using Play()
           // I set the AutoPlay to true and it worked.
           _vidStage.AutoPlay = true;
        }
    }
}

...

Page.xaml.cs

    public partial class Page : UserControl
    {
        public Page()
        {
            InitializeComponent();
            this.Loaded += new RoutedEventHandler(Page_Loaded); // Setting the source after loading...
        }

        void Page_Loaded(object sender, RoutedEventArgs e)
        {
            // Please note the added forward-slash and I have set the Build Action to "Content" for the hippo.wmv file.
            g.Source = new Uri("/hippo.wmv", UriKind.Relative);
        }

 ...

 I hope this helps!