tom, there are many well documented security flaws and privacy invasions in apps used by millions worldwide. so it is strange you pick on the mx player. i share some of your concerns but disagree on your target.
for info on what is out there i'd recommend everybody to check out the forums at grc.com and investigate adaware @ www.lavasoft.de and always use a firewall like zonealarm or similar to see a little more of what their pc and various progs are up to. but tom unless you can tell me the mx player has been hacked, or the video settings are enabled by default or similar then i think you need a better target (and there are plenty of them to choose from).