I don't have a 4S yet, but on my iPhone 4 with iOS5 movies do show up in the "Videos" app. If you're not seeing them, look in iTunes on the Sync pages under the "Movies" tab and make sure "Sync Movies" is checked and that you have selected some movies.
Un-check 'movies' in the iTunes settings so that your iPhone has no movies. Sync it that way. Then sync them back on again.
Sometimes it just gets confused. I had a smart playlist that had all the songs missing and the only way I could fix it was to remove ALL music and then put it all back. It's fine now even though I changed no settings.