I have the same problem. However if I change the classid to the old depreciated Media Player 6.4 classid then it works fine.
When using the newer media player 7 and above classid as you are it would appear that the good folks at Microsoft have either removed or changed this feature or it is a bug. However I cannot find any documentation on this anywhere. If you use the old classid then some new features added since 6.4 are not available.
I too would really appreciate an answer on how to do this using the modern classid