Because Ubuntu does not. With Ubuntu it is the greatest of hassles to get certain video formats to play, like mp4 and wmv.
With Fedora, does the movie player just play all movie formats out-of-the-box?
According to Wikipedia, Fedora doesn't ship with libdvdcss:
Many GNU/Linux distributions do not contain libdvdcss (for example Debian, Fedora, SUSE Linux, and Ubuntu) due to fears of running afoul of DMCA-style laws, however they may provide the tools to let the user install it themselves. For example, it is available in Ubuntu through Medibuntu.
Having said that, it does seem relatively trivial to rectify that situation.
Your question is not very clear. You say that "With Ubuntu (you have difficulty) to get certain video formats to play", but you do not say what those video formats are.
Then you say "With Fedora, does the movie player just play all movies out-of-the-box?" Is your problem that you cannot get DVDs to play in Ubuntu?
Ubuntu does not ship certain firmware by default because of legality/illegality. You need to add the Medibuntu repository and from there the package libdvdcss2
Look here: https://help.ubuntu.com/community/Medibuntu Scroll down to: Playing Encrypted DVDs
The most versatile media player in Ubuntu is probably VLC
I don't know about Fedora, but a good alternative is "Linux Mint" - http://www.linuxmint.com/ This is basically Ubuntu with the Restricted bits added. How do they do it and Ubuntu does not? I don't know
As others indicated, many audio and video codecs are not included with Fedora due to legal concerns, such as patents. However, if you are confident those legal concerns don't apply to you, you can practically get them installed "out of the box" by enabling the third-party RPMFusion repositories during installation. (You must use the install DVD or net install images to do this. Live media do not support it.)
Once enabled, the Fedora installer will automatically install many commonly used codecs during installation. If you happen to need an arcane codec not installed automatically, KDE and GNOME's default music players will offer to install the appropriate codec the first time you try and play the file.
An easier way to get most of the codecs and many goodies on your Fedora box is to install the AutoPlus package and let it install the codecs for the most common multimedia tasks. It worked like a charm for me.
Linux Mint comes with out of the box support, but now most distros offer a one click solution to the issue. For example openSUSE has http://opensuse-community.org/Restricted_formats. There should be something for Fedora too.