1) You need to have an extra codec to play the .ogg movies or is just like the MVE ?
It's built into the game, like MVE support is, so you don't need anything extra. AVI and MPG support will be removed from all future builds too, 3.6.9 was the last to have it.
2) The .ogg movies are much smaller than .mve ones?
They should be comparable in size to the AVI movies. Some of them will be smaller than their AVI counterparts, others will be larger. For the FS1 and FS2 movies that I made though, even having quality over size as the primary goal, the overall size of the movies is less than the AVI versions.