For a feed of the size in the videoplayer sample app, it would probably make sense to have just one .xml file that contained all the nodes for every category. The sample is broken up into several different feeds because we feel it would be a good "best practice" to break up your feeds into more manageable chunks. Very large feeds are expensive to download, take up a lot of memory on the box and take a long time to parse. That's why we encourage breaking up your feeds.
That said, you can always change the way the sample app is parsing the feeds if you want to combine them into one feed for you application. Just change the feed parsing code in categoryFeed.brs and showFeed.brs
--Kevin