... because it sucks.
Apparently it's a known issue and cannot be resolved with the native MediaElement control, because it doesn't support streaming sources over HTTPS and there's no way to set source from a stream.
One option would be to download video before playing, but it's a terrible approach for obvious reasons.
Another (better) option would be to use a different control, for which I'd like to hear suggestions.
Screw it
I'm running into the same problem. If you found a good solution I'd be interested in learning it. Thanks!
I've used https://github.com/unosquare/ffmediaelement for a while but then just decided to remove this altogether.
I just found a way to do it using Universal Windows Platform (UWP). This implementation successfully plays video from an https source.
https://github.com/kiewic/MediaElementWithHttpClient