The only way i have found to do it is to use diceplayer. In the settings of diceplayer you can select Background Playback. That allows you to power off the screen and continue video playback.
My setup I have found works best. I use ES File Explorer to navigate to my NAS. When I select a video file, it asks what player to use. I select diceplayer and once the video starts, I turn off the screen.
I have found that sometimes my wifi will go into low power mode with the screen off and playback audio gets choppy, so I have to use a widget called WIFI High Performance Widget.