Are you sure? I tried it on the same way as I do for sounds and I can play a
movie across multiple slides:

- Insert / Movie and sound / Movie from file
- Start: Automatically
- Custom Animation
- For the effect "After previous" I click on "Effect options"
- Stop playing after: 5 slides

You can set the slide transition either to "On mouse click" or to
"Automatically after: xx sec" - both works well and the movie plays across a
number of slides.

http://www.tlccreative.com/ppt_tutorials.htm

Movie Across Slides

<CopyPasting1>
Can a movie continue to play while you continue advancing the slides?
YES!
But only if created AND played in PPT 2003 (will work in PPT 2002, but I
have encountered stability issues if SP3 not installed)
Here is how:
Insert video
Double-click the PLAY setting on the animation pane
Go to the EFFECTS tab
In the STOP PLAYING section add a number to the AFTER ___ SLIDES
Make sure movie area is free of content on all slides it is to play on
Done
</CopyPasting1>

<CopyPasting2>
*Make sure movie area is free of content on all slides it is to play on*
</CopyPasting2>

Very cordialmente

Enric