I am using Dolphin HD and I've installed the latest Flash player apk and I've had no issues with playing any sort of video. I'm not sure if it's an issue affecting only certain units or if it has to do with installed software, but I'd try installing flash and using a different browser than the stock one.
Goodereader.com has a link to the flash player on their list of
essential Vox apps.
As a semi on-topic note; I rather prefer using the VLC media player app for video playback. You can grab that here:
http://forum.xda-developers.com/show....php?t=1275241
You'll want to download the NEON version since the Vox has neon support.