I don't have MEP MX Premium so cannot answer directly to that but a quick Google search on the AMV format suggests it is proprietary and quite low quality. I would think, therefore, that MEP cannot export in that format.
However, if you do a Google search for SUPER, a free "almost-anything to almost-anything-else" convertor, it can output in AMV format (I've just checked!). So export as .AVI from MEP and convert with SUPER. (If you don't already have SUPER, finding/downloading it can be "difficult". The direct download page is http://www.erightsoft.com/SUPER.html#Dnload There are various adverts on the download page for "paid for" apps; they can all be safely ignored!).
Personally, I would not recommend Super convertor, I stopped using when it appeared to be Ad-ware
Which is why it is essential to download only from the official SUPER website. I have never experienced any adware problem with the genuine SUPER and yes, I do have quite extensive security software on my computer.
1. Try exporting a short clip as mp4 starting with one of the iPod device settings.
2. Rename the file extension of the exported clip from mp4 to amv.
3. Copy to your player and try to play it.
If that does not work start working through the different options to get an export file with a mpeg2 video stream with AAC or AC3 audio stream - always doing step 2 on the export file.
OR
Use GSPOT or MediaInfo to analyse the amv file you have and find out what the internal codecs for video and audio are, then set the mp4 export accordingly.