FFmpeg won't be your issue, everything that AttractMode needs from FFmpeg is included in the attract executable on windows.
The only other thing I can think of is that you try opening your PC GAMES.txt file (in the romlists directory) with a text editor. At the start of each line (before the first semicolon) is the name that Attract-Mode uses to try to match the game to your artwork files. So for example if you have "Pac Man;..." as one of the lines, it will be matching "Pac Man.png", "Pac Man.mp4" etc. for the artwork.
You could double check that the names here line up with the names of the artwork files you have...
Something that might be happening is if you have "Pac Man.zip;..." there in the romlist Attract-Mode will be looking for artworks named "Pac Man.zip.png", "Pac Man.zip.mp4" etc... I'm not sure if this is something that can happen when you import a list from hyperspin, I haven't had much feedback on hyperspin importing, it is possible it is broken...
Hope that helps