I have a feeling that since your player is much newer and the MP3 Player Utilities 3.68 is a very old version, there may be some slight changes to the .AMV format and think you should try a newer version.
Firstly try to see if you have a version on the CD that came with your player. If you don't have a version there, try this one here:
Download Tool: MP3 Player Utilities 10.0 - MyMPx. Install that, convert your .AMV file and see what it looks like.
Also, do you have a SAMPLE AMV video on your player? If so, can you upload it to the site so we can take a look at it please?