Could you please advise the name of the program you're using and also the version number (Help>About).
If you're on a recent version of Magix:
Something you can check: on the Burn screen, do you have any video when you use the virtual remote control on the left (ensure "Preview" is active at top-left of screen?
This won't help you solve your missing picture but will save you disks: when selecting the burner (item 1) choose "image recorder". Magix will then create an ISO that you can open with VLC Player to check your "burnt" or, I should say, created DVD before you actually burn it to a physical disk.
However, you cannot burn an mp4 file direct to a DVD and have it play as a normal DVD. The format of video files has to be mp2, along with a number of data files which the DVD player requires in order to properly read the disc.