Could be for a few reasons.
1. Your set-top player can't play dvd-r/rw disks or can't play that brand of dvd-r.
2. Burnt it too fast.
3. Didn't choose UDF format which is the format movie dvd's are burnt in to play on set-top players.
4. The movie was not the correct format such as PAL or NTSC ... the original might have been the incorrect format or you might have chosen the incorrect format when burning.

I would tend to think it's more-so related to point 3. Double-check all your burner program settings & make sure its destination format is UDF or movie dvd.