The main advantage of in-game movies is that not only do they get upgraded as the rest of the graphics do, but they can also be moved around (downloaded, etc) for a fraction of the cost in hard drive or bandwidth space.
You could also do nifty things, like setting a mission in the middle of one of the movies - think BTTF2, where Marty is sneaking around his past self.
And hallfight.mve would be harder to do than lab.mve, due to the sheer amount of time required to do every single character animation. OTOH, the Ancients cutscenes, the Lucifer death cutscene, Bosch's cutscenes, and the FS2 intro cutscene would all be mostly possible with the game engine today.