Here's the problem: The Media panel and the Preview panel are showing you a SWF-based preview. However, you're aiming for PDF output. PDF puts multimedia on top. I don't know of a workaround for that.
In InDesign CS6, they correctly renamed the Preview panel the SWF Preview panel.
> PDF puts multimedia on top. I don't know of a workaround for that.
Nothing in the design and structure of a PDF hint at this being possible. It was probably just not meant to do this kind of things.
Other kinds of interactivity like buttons also sit on top. It was described to me that they are handled like on a separate layer above the page description layer.
On top of a running video? Gosh. Learnin' something new here. ... Can a button be transparent? If so, that just might work.