I believe MX uses the stock codecs in devices, and evidently the HTC M8 doesn't support Windows Media. Try VLC instead, as that does include it's own codec library and should be able to play Windows Media on any device. Rocket Player is worth a try as well.
There's many devices that don't support Windows Media anyway, because of codec patent licensing to Microsoft, i.e. it costs them lots of $$$ if they do.