Hi folks, I'm trying to repro this but have been unable to.
One thing to double check is that you have added a reference to the smooth streaming dll: C:\Program Files (x86)\Microsoft SDKs\IIS Smooth Streaming Client\v2.0\Windows Phone\Microsoft.Web.Media.SmoothStreaming.dll
...without it, the app will crash and close without much additional info.
my test project; if you have a chance, please give it a try to see if it has the same issue.
Lastly, if you're still experiencing issues, please let me know if it appears to be specific to a certain device or specific emulator.