but a video player to run through the command line on a daily drive desktop with GUI and everything?

I'm not running it from the command line, I open videos with it from my file manager, or through the Jellyfin plugin.

I mean when I'm on my desktop I just want to click on my media file and launch it right away.

Yes, that's what I do. Of course, your desktop environment has to know that you have this MPV and it can open such and such files, but it can work like that.