Max install still doesn't copy movies. Just core files and libraries.
To run the FMVs from your HDD you need to copy all the files in each discs' "movies" directory into one on your drive. I typically put it in a "movies" directory I created in my FF7 install folder. Then modify your registry settings thusly:
\HKEY_LOCAL_MACHINE\SOFTWARE\Wow6432Node\Square Soft, Inc.\Final Fantasy VII\
navigate there and change the value of "MoviePath" by double-clicking on it and providing the full path of the directory with the copied movies. If that key isn't there, right click in the right-side window and chose New > String Value and you can create it. I can't remember if it's there by default or not.