Windows Media Player now works with Kerberos
You may have seen in a network trace that when Windows Media Player connects to Windows Media Services that if the server had Negotiate authentication enabled for the publishing point that Kerberos would fail with a Service Principal Name unknown error. Specifically in the trace you'd see a response that contained KRB5KDC_ERR_S_PRINCIPAL_UNKNOWN. WMP would fail silently and roll over to NTLM. NTLM would then handle the authentication.
As of December 9, 2008, Windows Media Player 11 now works with Kerberos authentication. A security update, http://www.microsoft.com/technet/security/bulletin/ms08-076.mspx, changed the way that the player handles Kerberos. I've only tested this with WMP 11, but it's possible that the update affected older versions of the player as well allowing them to work.