Yeah, I know what you mean Rob. When NASA had the lunar impactor mission a few years back, a lot of people thought they'd get to see HD video of this thing flying into the surface of the moon. But it wound up looking more like black & white time lapse images.
Sending a video stream over those kinds of distances is really prohibitive. Satellites that provide video service are at an altitude of 23,000 miles over the Earth's equator, and you've got to have very precise azimuth and elevation adjustments in order to receive signal, let alone transmit. Doing that from the moon, which is over 10 times that distance was a challenge in 1969.
Transmitting live video from Mars would be even more difficult, and the problem is twofold: precision delivery of the signal, plus the power that would be required to do so. The space craft probably doesn't have enough onboard power to transmit video. And that's likely why NASA muxes together their telemetry with data from the onboard instruments and still cameras. It's a lot more efficient from a power standpoint.