Sadly this is just one of the many options classic had that studio does not which makes it more tedious to use. A way to work around this is to combine all the videos you're wanting to play in whatever order with a movie maker program. Turn your multiple videos into one video and then input into the media plugin. That's the best we've got right now with this program.
Sadly even after two years, our voices are still not heard. But, hopefully the development team will finally care enough one day to listen. Don't get your hopes up though.