It looks like this uses some extra wrapper or something. It does not start with a regular JPEG header and I have no idea what it is.
If you remove first 92 bytes, the resulting file would start with JPEG header and VLC will display the first frame, but not the whole video, but then mplayer will stop recognizing that.
And there are 33 byte inter-frame headers, so I guess this is why VLC only shows the first frame and then stops.
I don't know what that header is. Usually MJPEG files are just a bunch of independent JPEGs glued together.