correct, You will need to use Nexus Media Importer to PLAY the media on the thumbdrive, or you can play it directly with any compatible app if you transfer it using NMI to your internal storage. When you 'play' a file in NMI, you tell it which app to stream the file TO, so you will need MXplayer, BSplayer, Dice player or equal to play the file routed from NMI. These 3 apps generally will play any common vid format.
Yes, NMI is read only for connected flash memory or hard drives and only certain media file types are compatible with it. Rooting is clearly a superior option for those willing to walk on the wild side.