The demo didn't include the AVIs or the in-game music, and I'm guessing the developers removed the code from the demo EXE to play those. Remember that most people were using dial-up modems back then, and the AVIs and in-game music represent 90% of the data on the OP2 CD. As I recall, they also cut out the ambient animation graphics, as well as the graphics and sounds for every unit/structure that wasn't intended to be available through the extremely limited demo missions.
I think the better question is, why are you trying to play the post-release demo? The pre-demo is interesting because there are quite a few differences between it and the final game, but the post-demo is really not worth anyone's time.