Does higher-resolution display scaling improve movie quality?
It depends on the software you are using. As long as you haven't selected an upscaled resolution ("Larger Text" in the Displays preference pane), it should work just fine with any application designed for Mac within the last few years — including Quicktime, VLC, MPlayerX, etc. Simplifying a bit, these will all recognize that your screen's "pixels" are actually four pixels each, and make use of them.

However, if a program has not been optimized for use with retina screens, it may appear pixellated when the screen is set to a retina resolution.