Quick update on this.
Unfortunately, ofxWMFViodePlayer doesn't seem to be stable enough for me. I left it running the videos overnight a few times and came back to crashes. I also noticed that the setSpeed control can take a very long time for the speed to actually change (sometimes I'd change the speed by .1 and would have to wait for 30 seconds for it to take effect). Maybe mjpeg is not the best format for this?
So, I switched back to ofxHapPlayer but this time converted my videos to HAPQ at 30fps (they were 60fps before). This seems to be working nicely again.
Another thing I noticed is ofDirectShowPlayer from the nightly build is allowing me to scrub through the videos (using setPosition) at different speeds quite nicely.