The default SWF video player widget inserted into a PDF does not support looping playback, and there's no way to change that from inside InDesign - you need to change the widget.
We have a free replacement version that natively supports looping, and can be used in Acrobat 9+ and InDesign CS5+. To install it, extract the VideoPlayer.swf file to the following location(s), keeping the existing ones as a backup:
- For Acrobat, put it in Program Files(x86)/Adobe/Acrobat x/Acrobat/Multimedia Skins/Players
- For InDesign, put it in Program Files(x86)/Adobe/Adobe InDesign CSx/Presets/multimedia
where 'x' is your installed version number.
Place your video as before and export to PDF, and the widget will be used instead of the default non-looping version. It has a bunch of other advanced features you can control inside Acrobat using scripts, once the PDF has been exported.