This is by-design. Windows 8 keeps track of 'Windows Store apps' that go into the background and are automatically suspended after 5 seconds of losing focus (some exceptions exist, but I digress). Windows automatically terminates the background app if resources are required for foreground tasks. This is why the XBox video app automatically vanishes from the 'alt-tab' list.
The workaround in your case would be to either add more resources to your system (increase RAM perhaps) so the system is not easily starved for resources or alternatively use a 'classic desktop' application like WMP that is not under the control of the new Process-Lifecycle-Manager in Windows 8.
Is there a reason WMP will not work in your scenario?