The video you linked links to a WAD that is very outdated (it was made for a version that is now 2 major revisions old now), so if you're talking about the pallete being messed up as well as mario being able to spin and homing attack, this is why. The WAD is going to have to be updated and you might have to do that yourself. You might be better off waiting until someone releases a Mario wad on the message board if you can't figure it out.
As for why the MD2 doesn't work, here's a step by step guide on how to make the model work:
-Extract the play.md2 and play.png files from the mario folder in the Jeck's Archives zip to a folder named MD2, which should be in the same folder as your srb2win.exe.
-if you don't already have a file called "MD2.DAT" in your SRB2 folder, Open Notepad and type in "mario play.md2 3.0 0.0" and go to file > save as, and click on the dropdown bar that says "text documents" and change that to "all files (*.*)" then, in the file name box, type in "MD2.DAT"
-if you DO already have a file called "MD2.DAT", then open that up using notepad or wordpad and copy and paste the text I wrote earlier and save the file.
-open the "SRB2 - OpenGL.bat" file in your SRB2 folder and when the game launches, press the ~ key (the one under escape) and type "addfile mp-mario.wad; gr_md2 1" this will execute two commands, the first one adds your WAD file into the game, the second turns on 3D models.
If you did everything right, you should see the 3D model of Mario and FLUDD when you pick Mario from the character select screen, he'll spin when he jumps and he'll be able to homing attack things, but I said you'd have to fix that yourself earlier.
