Isn't it? I never thought about it until I was looking into cross-system video support in GameMaker:Studio. (I wanted to run a trailer the first time the game launches; it's a nice touch for those who picked it up from bundles / etc. and waited a while to see what it was.)
But it's apparently really hard to get all the right codecs playing nice on multiple systems, so there's not much support for videos in that engine. A lot of users on the forums over there recommended building cutscenes and trailers in-game as a result.
Turns out that's actually a really useful approach sometimes haha. You much have way more control over the scene in an engine than you do in most editing programs.