MP4 with audio us not playing on the first attempt but playing when we return to the scene.

Which version are you using, please? (Help, About Captivate shows full version number).

How big are those videos? I suspect the loading time needed is the problem. Did you insert them as slide videos or event videos? I recently had also problems with videos with inserted audio, because they were too big. I took out the audio, inserted as slide video and added the audio separately.