The message means just that, the browser wasn’t able to load the video. For the clients iPhone, if it is an older one, and hasn’t been updated, its possible that it can’t handle 4K spherical video. iOS devices have only been able to load 4K spherical video since iOS 11.
A surface Pro is equivalent to a desktop experience, so not sure why there would be any problem loading there.
A few questions may help narrow down the issue. Is it all video scenes? Is it a particular scene? What is the resolution of the video? What do they mean by “it wouldn’t load at all”. Are they running in the browser, or are they using the CVR app? Which iPhone? What version of iOS is on the phone?