1.) Upload the movie file to Microsoft Stream 2.) Set permissions on the movie file (I.e. All users or just Team Members) 3.) Create a Stream Channel and add the movie to it 4.) In Teams, create a Stream Tab, you can either - Just add the sole video you created - Add the channel so if you have further videos in the future just upload them to that Stream Channel
Video should now play. Having tested, Stream videos should be fine in IE11.
The solution is really outlined on the screenshot above that you provided from Teams - play in a different browser or play the video in a video app. Teams isn't a video app. If you don't want to use Stream because its not rolled out yet - which is completely understood - then as Adam says use YT or another video site and add it as a Tab.
If you are adamant that you want this specific functionality then I would consider raising it in a ticket to Microsoft. I hope they will resolve it however, I would anticipate them coming back saying its either not supported or to use the above. It may take them a long time to fix it if they do find it is a bug.