That was me, and cutscenes ONLY work in the beginning and end of a campaign, AFAIK.
First, make a folder in your Lock On mission folder with the same name as the campaign itself. Now, if you want a cutscene as an intro to the campaign, place the video inside the folder and label it 0. For a concluding cut-scene, label it the number AFTER the number of missions in your campaign.
So if you have a campaign that's 8 missions long, and named "F15_Crimea.cmp", create a folder named "F15_Crimea" and put the movies "0.avi" and "9.avi" in it.