This is due to the overlay that is set by ui.dialog
Basically this part blocks the click handling of the <a>

$(document).bind($.ui.dialog.overlay.events, function(event) {

// stop events if the z-index of the target is < the z-index of the overlay
// we cannot return true when we don't want to cancel the event (#3523)
if ($(event.target).zIndex() < $.ui.dialog.overlay.maxZ) {
     return false;
}

});

What if we move

the div.overlay-win k-menu ui-widget-content with the controls, below the videoHolder and below the timed text, and remove the z-index from from the settings div. It will then naturally be positioned on top of the video. Which is always better than mucking about with the z-index.

mdale wrote:

Thanks for the pointer Derk-Jan Hartman,

Fixed in https://gerrit.wikimedia.org/r/31741