You are encountering a codec issue.
From the JavaFX FAQ question 7, JavaFX (as of 2.0.2) only supports flv videos encoded using the on2 vp6 codec.
Additional codec support is scheduled for future releases. The relevant feature request is RT-18296 (login required, but anybody can sign up to view the JavaFX issue database and create feature requests, vote for issues or post comments).
A related StackOverflow question provides a summary of considerations for playing video in JavaFX 2.1 (including a JavaFX WebView).
To demonstrate a html5 video tag and video playback within a JavaFX WebEngine, run the following code, which plays an Oracle supplied vp6 encoded video.
import javafx.application.Application;
import javafx.scene.Scene;
import javafx.scene.web.WebView;
import javafx.stage.Stage;
public class WebViewVideo extends Application {
public static void main(String[] args) { Application.launch(args); }
@Override public void start(Stage primaryStage) {
WebView root = new WebView();
root.getEngine().loadContent(
"" +
"" +
"Your browser does not support the video tag." +
"");
primaryStage.setScene(new Scene(root, 340, 260));
primaryStage.show();
}
}