I've been talking to the mplayer guys at their IRC channel. They said none of the core developers is working on that feature at the moment, and that it's a lot of work, since there are a lot of potential security issues (accessing files behind the user's back), but that obviously it's a feature in the to-do list. In fact, they already implemented something similar with mov files, so it's not unlikely for this feature to arrive soon.
This quote does not give me too much hope, though:
Code:
14:09 < reimar> or to cut it short: I can understand why they did it and it may be the best that can be done, but the developer
in me considers this just a horrible mis-feature which leads to very low motivation to do anything about it.