Well the idea is that some configurations might not like the mms-protocol (firewall etc). Therefore the mms packets are further encapsulated in http-packets, thus looking as normal web traffic. Not sure about the specifics as the protocol is proprietary.

It's still odd that mms is used as it has been deprecated for several years and there exists real good open protocols such as rtsp.

In short: use mms if it works. Mmsh is rarely used so not that many players actually support it.