MKV is not supported by Windows Media Player. You must install MKV codec for WMP to make it work. Use other codecs, like ffmepg (vlc is using) if media play codec pack is useless. But if it is still...

Try to install Media Player codec pack.
If the codec pack is helpless as well, third-party MP4 player is a good choice.

Why not try some other DVD burning software for Windows 10 instead of Windows Media Player?
If the all the DVD burning software fails to burn files, there is something wrong with your DVD driver.