Click Choose default apps by file types at the bottom of the window to go to next page. Opening MKV file still remains same with Movies & TV. You can change it from default universal Movies & TV app to VLC player but that only change the default behaviour for standard video types such as MP4, MPEG, AVI, or WMV files. Go to Settings → Systems → Default apps, and you will see one category on the right called Video player.
The right place to go is the Settings app, obviously. So how can I set default apps in Windows 10, such as setting VLC as the default video player for MKV files? Before in both Windows 7 and Windows 8.1, you can quickly set the default app for the certain type of files right from the right-click context menu but not anymore in Windows 10. Setting default app in Windows 10 has dramatically changed.