Hi Mallen,
Can you name the software which you are using to generate .chm file ?
I don't think that video will play in your chm help because when you generate swf from Adobe Captivate the video never get embedded into the output , It gets copied in the published folder and everytime you play the swf it call the video from its refrence location .
And I think that you have only inserted a swf file in your project while generating chm .
Thanks and Regards
Himanshu Satija