Playing the whole "video" clip can be helpful if you wanted to back up a few seconds or continue to watch the action after the "alert" ended. I do not mind hitting "ESC" to revert back to the normal screen.
I find it beneficial every day. My videos are set for 1 hour which I feel are more user friendly than the default 8 hour that BI defaults to.
Remember that those are not actual little alert clips, they are only "pointers" to the full video.