but you have created this entity dynamically, so it has no z order predefined.
Either create the entity in Scene Edit and modify your code to read:
var video = Scene.GetNode("your scene edit entity name goes here");
video.X = 403;
video.Y = 184;
video.PlayTheora("somepath\waterfallcolor2.ogg",true, "somepath\waterfallmask.png");
or use StickToRegion().