This is actually a good idea.
Imagine loading up EU4 and picking your start date and getting a short "briefing" video before you start. Depending on how modular the system is, you could have individual ones for each country or group of countries. You could also make different videos for each start date.
An example, with visual modules, from Victoria 2:
Yes, a bit like this.
Though if they do release a game set in a time where filming is already possible (Hearts of Iron) for example, they could maybe stitch together not only narrated pictures, but a narrated video as well, only brief intro.