MKV is just a Container Format., which actually requires a Codec to support it...
Most DVD Players will, because it's a commonly used DVD Video Format; but for Desktop, you're only going to see it used mainly for Web Video (for example Flash used to use it).
The thing is it's generally been deprecated in favour of MPEG-4 (MP4)
So it's unlikely that your system will "Natively" Support MKV, where-as it will Natively support MP4 (and this is the recommended container format)
Now the next thing to keep in mind is the Video Codec being used.
It's HIGHLY recommended that you use H.264 (although H.265 should be used for UHD / HDR / High Refresh Video)
Again here... MKV can realistically use any Video Format, where-as MP4 exclusively uses H.26x Format.
AGK itself will support whatever Video Codec are installed on Windows., but "Out of the Box" this specifically means H.26x, VC-x and DCT.
With this said, AppGameKit does not do any Real-Time Transcoding... so if the format isn't "Natively" Supported... AppGameKit won't suddenly support it because the Codec is available on the System.
So, stick to MP4 and H.264
