I work at Microsoft, specifically, I drive requirements for MKV support.
MKV is a container specification, and wraps tracks made up of various codecs (H.264, MPEG4, AAC, DTS, Dolby, etc.). The MKV work done to date provides general container parsing, seeking, and basic metadata support. However, the new MKV code does not parse the compressed audio or video frames. These frames are passed on to a decoder for the specific codecs (if it is installed).
Even within a particular codec, there are variances in the encoding settings: some are generally supported, some are not. These are sometimes grouped together and called Profiles. We support the most common profiles of H.264, however, there is a gap in 10bit color depth support in H.264. Similarly, some codecs require royalties to be paid to the intellectual property holders. I'm not the codec guy, but suffice to say that some media will simply not work because it can't be decoded. If that same media was in an MP4 container it would still fail to play natively.
It is likely your media is failing because it uses an unsupported codec. You can run the tool mediainfo:
MediaInfo - Download
To see that your MKV files are composed of.
Generally speaking, the support within MKV for Windows 10 Technical Preview currently matches that of Xbox One for codecs. You can see the Xbox One support for MKV here:
MKV Support | Xbox One
Please don't post identifying information, nor filenames, etc.