I have heard of this problem before and do not think there is a solution. For some reason it seems that ePSXe doesn't support the FMVs in those two games. I'm not sure if it skips all the FMVs or just the first ones though.
Just to make sure, you should download ePSXecutor and in the options tab of a game's config there are two Mdec options which should both be turned on. But if you get FMVs in other games then they are already turned on.