if I switch to DVI would the video play smoother?
Try it and find out. No harm will be done, and for sure, the quality of the image will be better and right now your are not utilizing what you paid for. Of course that does mean you need to come up with a DVI cable - if lucky one came with the monitor.
The only problems I have had going digital is with some earlier models of LCDs, they would not toggle down to lower resolutions during the boot process - to include the low resolution needed for Safe Mode. This means you would only see about 2/3 of the image during boot, BIOS Setup, or in Safe Mode. But once the system proceeds past the boot stage, and the graphics drivers are loaded up, the card and monitor sync to the higher resolutions, and up comes a gorgeous picture. So again, this is with some older LCD monitors, does not affect normal computer use - a minor annoyance, easily resolved temporarily by switching back to the D-Sub (VGA/analog) cable.
In your case, however, it depends on why it is choppy. DVI may resolve that, but choppiness can come from not enough horsepower in the card, low amounts of free disk space, low amounts of system RAM, an improperly configured page file, slow Internet connection, and/or malware. If you download and save the video file first (scan for malware before opening to be safe) then run it from your machine (instead of streaming from the Internet), is it still choppy?
Are you sure that is a PCI graphics card and not a PCIe (PCI Express)? I can find several versions of the 9400, to include 9400, 9400M, and 9400GT - with the only non-PCIe version integrated into some motherboards. Which do you have?