Well, if you're not using the loopback address localhost (127.0.0.1) it may be less efficient, for instance perhaps every packet is going through netfilter rules on external address that is firewalled.
I've found playing video files from disk, was improved by configuring the NVidia 3D graphics driver, rather than the vesafb which the aborted OS installation had used by default (an unusual bad kernel update installed a broken network driver, so I had to troubleshot and do all configuration post-installation).
Sync-ing video and audio, over a network requires buffering, I've had a similar effect closing audio players, where a few seconds worth of output continues after I closed the window. Think about it, the application could make you wait a while until the sounds stops before closing. Would that really be an improvement, or just be getting in your way?
If using the loopback device, and then if problem remains tinkering with mythtv's buffering (reduce a little as it's all on 1 box) leaves you with issues, and noone pops up here who actually know anything about this stuff, I'd try the MythTV-users list see
http://www.mythtv.org/modules.php?name=MythInfo