Make sure that you have enabled all 3 options in “Go to next play list item if” section of the Preferences dialog. Additionally, you may decrease waiting period by moving “The player stays on the same frame more that” slider in Preferences dialog. That will help SWF & FLV Player to determine whether the current movie has ended.
However, some SWF files may have ActionScripts that can trick SWF & FLV Player by rewinding current movie (the one that being played) to the first frame and, therefore, it will be played time after time.