weeeeeirdy weeeird weird. who the hell does this sort of thing??
oh and I think I would be sorely tempted when they hand you the DVD to say "oh is this the long awaited thank you letter?.... oh no, it's a dvd" put on coffee table, without looking and when you leave and "forget" it.
I think this sort of behaviour does carry on to other things though... not quite as bad but we went to a very OUR-wedding-is-everything wedding several year's ago and we now get dvd's of the child, professional photo xmas cards, etc etc. We don't know them that well so think it's a bit weird but try to think of it as sweetly indulgent but they have never once asked after our son!