MPMoviePlayerController creates its own window and sets that as the key window - you probably know this already from the MoviePlayer sample app.
I don't know why, but there's a delay when the player uses a stream - so the keyWindow you get right after you initialize the player is likely not the player's window, since that seems to get added later.
You can "cheat" and use a timer to get the player window a few seconds later, and add your overlay:
[NSTimer scheduledTimerWithTimeInterval:5 target:self selector:@selector(addMyOverlay:) userInfo:nil repeats:FALSE]
Or you can listen for the UIWindowDidBecomeKeyNotification event, and do the same:
[[NSNotificationCenter defaultCenter] addObserver:self selector:@selector(keyWindowChanged:) name:UIWindowDidBecomeKeyNotification object:nil];
Neither option is great (I'd love to know a cleaner way to do this), but it gets the job done.