When you call "Game.PlayVideo", you are really sort of telling the engine to play a video on the "Game" object, which is the whole screen. This is what allows the user to click and skip your video.
If you have an entity in your scene (let's call it "VidEnt") at position 0,0 on the screen, and the video was the right size to fill the screen, you could call VidEnt.PlayVideo/VidEnt.PlayTheora to play an unskipable movie on the VidEnt entity. I believe that is basically what Mnemonic is getting at.