Well, depends on what you consider FMV

Technically it is a video playing, but it's the old SegaCD/Turbografx style cutscenes without a lot of motion. Definitely has voice acting, though. Maybe you accidentally skipped it? To re-see it, just go to the in-game menu and choose "Restart". Starts with some explosions, then you see a fireball hurtling through space, until a robot armor is revealed...
Vay seems pretty cool so far, but why did they have to relocalize it? I'm sure Working Designs did a great job when they did it for Sega. But this...WAY WAY WAY too many references to modern events, catchphrases, and the like. From terrorist activity to weapons of mass destruction to profiling to high gas prices to Live Free or Die Hard to Princess Bride...and that's only in the first two towns, one dungeon and a boss encounter!