If you can, try converting the movies to FLV. That format still works the best, and I have had issues with MP4's as have my clients.
When you insert the FLV you should see the white box with the movie icon. It will play when you publish/preview the presentation.
SWF files are a little more complicated because they can be interactive or non-interactive, and Presenter has no ability to know which it is. So after inserting a non-interactive SWF (movie), you will need to adjust the timing of the slide to match the duration of the SWF (in seconds) by adding silence to the slide. Then you will need to select the Manage Flash option from the SWF drop down in the Presenter ribbon, and then check the Control using presentation play bar option. That will ensure that the slide displays for the entirety of the SWF and that the SWF will pause, fast forward, rewind, etc., when the user commands that in Presenter.
Does that help?
Thank you for this suggestion Jorma. I really appreciate the help.