With the default install of VLC on FreeBSD, you will not be able to play videos from a Dolphin connected SMB share in VLC player, without first compiling it with SMB support.
To resolved this, all you need to do is go to the port /usr/ports/multimedia/vlc. Run make config and
choose SMB, like in the following screenshot.
Press the spacebar to toggle SMB to on then press Enter to save the config.
Next run make install clean. Or alternatively if you already have vlc installed run
make deinstall && make install clean.
You should now be able to double-click on the video files in dolphin, where you are viewing an SMB share.
Note: you will need to enter your username/password for the SMB share in VLC the first time you play a video for a share.