The most common reason is that when prompted about the Nginx server, you didn't provide a domain/host/IP that is accessible from the machines you're attempting playback from. Another possible reason is you chose a port that is blocked. By default, port 88 TCP is suggested for Nginx over HTTP and 8443 is suggested for HTTPs.
The easiest way to start debugging is by opening a standalone page where the player is embedded [you can see a tiny URL for such a page when going to KMC->Content->Your Entry->Actions->Preview and Embed], opening the browser's dev tools and looking under the "Console" and "Network" tabs for failing requests and errors.
If in doubt, feel free to paste a sample URL here and I'll help you look.