I've been using Android's Screen Pinning since it became available to lock MX Player on my phone, so I can give it to my daughter to watch movies without worrying about her messing around with anything else. Se navigates the player easily, chooses whatever she wants to watch, but she can't leave the app, or click on notifications, etc.
Unfortunately, the latest update seems to have broken it. Apparently, the "media browser" part and the actual video-playing part are now seem by Android as independent apps. If I pin it while browsing, I can't play any files: whenever I click on a file, Android shows the message saying "to unpin this screen, touch and hold back and overview buttoms". If I start playing a video and then pin it, I can't go back to the file selection screen, as only the video "thread" (I'm not sure I can call it that way) is pinned.
The same problem is happening on my Xiaomi Mi A2 with android 9 and my wife's Motorola Moto G7 with android 8, both running the Pro version of the player.
Should you need any further information, please do not hesitate to contact me.