I wonder if anyone knows how to solve this in Crossover? This was posted by one of the games' developers in Steam's forums. It seems other Unity based games have similar issues too on Crossover, maybe there's a video codec missing?
ModMax [Massive Damage] [developer] 10 Sep, 2020 @ 5:48am
We've seen some issues on European Windows N installs (apparently these OS variants don't have Windows media foundation installed). Our videos play using Unity engine's built in video feature but it's reliant on Windows Media.
One thing could try is re-install Windows Media Foundation
https://www.microsoft.com/en-us/download/details.aspx?id=48231