Now that you mentioned MPlayer as this third-party app think about the following reasons:
1. Nokia had a lot more time to develop software for N800 (including the built-in player) than third-party developers
2. Nokia developers work full time while I have some other job and my free time is very limited
3. Nokia has control over all the software components and can tweak any of them until they work fine together and pass QA while I have to deal with unexpected incompatibility issues with Xv and gstreamer. I'm not implying that all the bugs are in N800 Xv and gstreamer implementation, but some issues are very strange and what worked on Nokia 770 and desktop PCs fails on N800 now.
4. N800 release date was unexpected event for most people, the same applies to the last firmware update. We had no chances to do any preliminary tests to ensure compatibility (releasing a beta version of firmware for developers early for would help) and anybody who relies on low level stuff and features changed between OS2007 revisions would lag behind official Nokia releases as a result. This all is also quite a bit discouraging and is killing motivation somewhat.
5. MPlayer was never announced to work perfectly on N800 yet, we are just at the very beginning again. Also you did not mention that you are interested in video performance on N800. If you had Nokia 770 and compared MPlayer performance with the built-in player there, you would not ask this question in the first place. And if you find and check MPlayer thread here in this forum, you will find out that it took months and quite a lot of revisions and improvements before MPlayer became order of magnitude better in terms of preformance than the default player on Nokia 770.

Are these reasons enough for you? So either help to improve MPlayer (read my signature) or just wait.