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.
Is it just me, but considering that SCP is used as the basis of mod and campaighns, shouldn't it support many different video formats as possible to make it easier to get new video into the game? Is there a reason why they're being removed that I am simply unaware of?
There were a lot of playback problems especially with the new divx codec installed.
Actually, while theora is not that widely known, it is one of the better MPEG-4 implementations out there.
The OGG/OGM container format also allows you to embed several audio tracks in the same file, allowing users to choose their prefered language, as well as subtitle tracks. (In essence it allows the same flexibility you've grown to love in DVDs).
The only more flexible container format that I know of is mkv, however the main reason why fansubbers prefer it is its more flexible subtitle support.
MPEG and avi are way outdated in this regard.