If you remove the checkbox "Allow third party Flash content to store data on your computer" from the Flash Settings screen:
http://www.macromedia.com/support/documentation/en/flashplayer/help/settings_manager03.html
And if you embedded the SWF from a different domain then the HTML document,
the JW player cannot initializing correctly (the swf is loaded but blank).
Maybe the player tries to write a flashcookie and simply dies when that fails?
The Youtube player is still embeddable fine with this setting.