Rick not to doubt you or anything as that screenshot does show the .mp4 but when I tried adding an .mp4 it also gave this error message and I am not sure what it means to add the HTML File etc. so maybe someone can shed some light on this subject. It would be nice if you could just use the .mp4 without any problems and also to have more Templates which I know you can make your own but it would be nice to see everything this product (Camtasia Studio) has to offer being kept updated by the company, Just a pet peeve of mine I guess. Maybe some will agree and others wil disagree.
Here is my screenshot of what I get when I tried adding the .mp4 file.