One of my devices is the onn and can confirm mx player works with bee and cinema hd, those are the only two I currently have tried, maybe try one of those and see if it works.
Now I can see where there may be a problem, on bee I just looked at the choose default player and mx player isn’t there BUT when I just go to choose something to watch, it gives mx player as one of the players to choose. It’s been a little while but if I recall I had to go into mx player settings and allow and set some things.
Does seem strange. I’ve got VLC loaded, I don’t recall if MX Player installed, I know I did both on the firestick.
I use it to stream movies on (from) my network (NAS).
Not sure I’ve tried it for anything else though.