Video can be inserted as event video or as slide video. Each slide video automatically get the layers which also appear when you use Interactive video, which is very confusing. If you don't use the interactive video features it remains a passive slide video.
This means the difference is in the type of video. Event video plays totally independent of Captivate's timeline, and for that reason gets its control panel with buttons. That is NOT the case for Slide video, which is synchronized with Captivate's timeline and can be controlled by Captivate. You can add a pause button, you can add a menu navigating to bookmarks etc. It is also the reason why you can add CC to such a slide video which is impossible for an Event video.
There is no slide playbar feature in Captivate, only a total project playbar. Although you could turn it on for the video slide, I suspect this is not what you want. In the eLearning community there is a described workflow to create such a progress bar somewhere, using a motion effect and advanced actions. But it will never replicate all features of a progress bar.
Have a look at this example of an interactive video, with a menu allowing to jump to chapters in the video. Would this be a possible alternative?