This seems to be pretty hard to do, because the movement of the leaderheads is based on 3D models, whereas a movie just is a sequence of pictures. The kfm files probably just store instructions on how the model is moved.
I wonder though if it might be possible to convert the movie to .bik somehow, because that is the format used for the movie sequences (intro, wonders) in civ. I don't know, if you can replace leaderhead art info with a .bik file though. Might be possible, since you can replace the nif files of the leaderheads with dds.
EDIT: Ah well.. just replaced a random leaderhead with a bik file (mausoleum.bik), wich crashed the program as soon as i made contact with the mausoleum headed guy. Well worth a try.