In the mean time I can answer this myself 

The way to succes for me was to put the mp4 movie on a blank pdf of the correct page dimensions using acrobat pro and save it as a pdf.
I then imported this pdf in xpp and put it on a page using the ig macro.
And then print the resulting division using the direct pdf way.. 
This leaves the imported pdf as is and the result is an XPP generated pdf with a movie embedded
Printing through the PS way (distiller or ghostscript) would not work as this would force XPP to convert the imported pdf to eps which would kill the video.

Just that you know...

Remark:
I looked into the pdfLib doc and could not find any reference to any video or movie format. 
Apparently pdfLib does not support adding a movie file directly into a PDF. 
A bit to my suprise.

I think the current options only include having a WWW link to the video file (which would work in both PDF and PS workflows) and as you found having a PDF image with an embedded video (which will only work in the PDF workflow).

As to what PDFlib supports (PDF workflow), starting with the XPP 9.7.0.0 release XPP uses PDFlib version 10 and I found the information below in the PDFlib 10.0.0 API Reference manual.

But unless the Postscript language was enhanced (if not already done) and XPP was able to support that new "level" of PS, I don't think XPP will ever be able to support embedded videos in the PS workflow.

Thanks Jonathan for the follow up.
As PDFlib does support embedding of video maybe I should file an official 'ídea'....