Would it be possible for you to attach a zip of your .hype document so we can take a closer look? Are you simply doing an export and viewing in IE 9, or are there other steps or other documents you are embedding it into? If so, please send any other files or a URL where we can test in action.
IE 8 uses the QuickTime plugin for video whereas IE 9 uses HTML5’s tag, so it is a different path which might explain the difference. My random guess would be that an MP4 video isn’t using a codec IE9 can understand, but I’d have to see a document to verify that.