I hit the same problem, and in my case the file sizes in the movies directory were also zero.
I tried to download a standalone cutscene installer and it seems like the "Direct Download" option is disabled (requires login, but AFAIK you can't sign in to gruntmods). I tried reinstalling the game, and noticed that the installer enters "download cutscenes" stage and quickly exits - most likely it also fails to contact the server and just gives up on the cutscene installation.
So, I instead installed cutscenes through the "Torrent Download" option - and voila, everything works!
