Hello.
I saw in 4.8.1 Hotfix is live! - Announcements - Epic Developer Community Forums! that bug “UE-17233 Media streaming from the internet is not working on Windows” was fixed.
But still problems with online streaming from the Internet.
For example, link to some h264 mp4 file - http://www.quirksmode.org/html5/videos/big_buck_bunny.mp4 .
MediaPlayer can’t play this file, as well as others mp4 files from the Internet.
How to reproduce video: MP4 H264 online streaming still not working in Unreal Engine 4.8.1 - YouTube .
If that bug marked as fixed, but video streaming isn’t working, what was have been fixed? 
Hello Arthur,
It is known and documented that the Media Player Asset does not work with .h264 encoded video files. You can find this information on the documentation page here. The fix that was implemented for 4.8.1 works with streaming video files over the internet, with the exception of the mentioned unsupported encoded video file.
With that said, one of our developers created a plugin which does work with this file type, but does not support subtitles as of late. This plug-in is still in the early stages of development and might have a few issues, but it will work for the video type you are attempting to stream.
VLC Media Plug-In
If you do not wish to use the plug-in, your other options are to try and convert the video file to a compatible format, or to use a different video file. This feature is open source, which means if you would like to improve upon the functionality of the feature, and you have the programming knowledge to do so, you can submit a GitHub pull request and we can try to get your changes integrated into the plug-in.
If you have any other questions please let me know.
Cheers,
Actually i can’t find any documentation regarding supported video formats. All pages that state where to find the information lead to the following dead link:
We have a bug report entered for the broken URL link and it will be addressed in the near future. Thank you for bringing that to our attention. The link is not live quite yet, so that is why the link is not working. We are working hard to get this up and running and we thank you for your patience.
With that said, looking at the Movie Players plugin section we have the Android Player, AVF Media Player, and the WMF Media Player. I guess starting with the formats they support are the ones that we technically should support as well since we have integrated that framework.
That is just a starting point though. We could have stipulations or other reasons as to why we do or do not support certain formats within those respective plugins.
Cheers,