<p>The MediaElement doesn't support rounded corners (radiusx, radiusy). Should I use a VideoBrush on a Rectangle with rounded corners?</p>

Yeah - In a way you're both asking and answering the question yourself... But that is one of the two options I can think of. The reasons that might be a problem is that you lose some of the features/control you get from the MediaElement control. Another option is to do this:
Add your MediaElement to your page.
Draw a Rectangle on top of it and set wanted corner radius
Right click the rectangle in Blend and choose "Create Clipping Path"
Apply the clipping path to your MediaElement
That way you're still using a MediaElement control, but you can "clip" away what ever you want to get the desired rounded effect.
This example shows a clipped MediaElement. I know it's not easy to picture the vector path, but if you open it open in Blend you will see a rounded MediaElement.
```
```
<MediaElement 
        Height="132" Width="176" Source="Egypt2007.wmv" 
        Clip="M0.5,24.5 C0.5,11.245166 11.245166,0.5 24.5,0.5 L151.5,0.5
              C164.75484,0.5 175.5,11.245166 175.5,24.5 L175.5,107.5 C175.5,
              120.75484 164.75484,131.5 151.5,131.5 L24.5,131.5 C11.245166,
              131.5 0.5,120.75484 0.5,107.5 z"/>
```
```