Hello Stuart,
The following settings might help you in C:\Program Files\Jukebox Jockey\Jukebox Jockey Media Player Pro 1\AppData\Settings:
ForceFDDShowVideo=1
ForceFDDShowAudio=1
The "Active Movie" window only pops up in error. I understand everything you are telling me, but I don't have a silver bullet. Tony and I have been working through some very major optimizations on the video playback stuff. The above setting has been proven to help make sure that the FDDShow codec is setup properly before the video starts, so that setting *might* fix it for now. But in the long term, we will have a new release shortly with the fixes.
The things we worked on are both logic and bug fixing. Tony found some bugs that were causing the video to render poorly at the start of the video playback. The newer version (still testing it) has a much better video start. It looks cleaner, the fades are nicer. Apparently, there was also a bug with JJ calling multiple audio streams during video start. This meant the audio never went through the Dynamic Audio Processor or the Compressor. So that's fixed now too. Finally (this is most applicable to your issue), we've designed a method for better handling systems which have dual monitors sometimes, but other times do not. JJ will now by default only try to play video on one monitor. If the second monitor is there, it will play it on monitor 2. Otherwise it will play it on the home screen. Unplugging and plugging monitors in won't cause the configuration problems you are talking about (which by the way are in Hardware>Video & Karaoke Display). NOTE that you have to restart JJ whenever a new monitor is attached no matter what, even with this new version.
I'll let you know when we have it available to the public.