I would expect older file types (.mov, .mpg) to be cached but not modern ones (.mp4). I am basing this on the fact that many 'modern' file types are not understood by the NetSuite file cabinet and so won't be able to communicate with the CDN about its media type
Generally speaking, we don't recommend hosting video in NetSuite (as it eats your storage and we don't have great media management tools) and instead suggest YouTube or Vimeo, or any other professional service – and then use their embed code