Thanks MadProgrammer for your advise. I went on to think about it and tried commenting away the line of code in run(). The JButton came back!
However, when i un-commented the code in run(), the JButton disappeared. I was thinking maybe the Swing runnable was causing issue with the creation of the JButton.
Hence, what i did was to comment away the whole Swing runnable and just use:
final Demo demo = new Demo();
demo.run();
The demo can now play video and display the Exit button, thanks!