Are they? Compared to other forms (eg. trojans or browser/os 0days) they're not really common. I suspect you have a better chance of getting infected from a site asking you to download a "codec", than you have of the site serving you a malformed media file.
But how many of those are actually exploited, and how does that compare to the other vectors I mentioned? Media file exploits seem in same class of exploits as spectre/rowhammer. You hear about them often (not as often as spectre/rowhammer, but I frequently see security fixes being mentioned in media player changelogs), but you rarely hear about attacks that use them.
I think running pledge(2) on Windows is quite difficult. :)
(At least, I'm assuming the question here is "What should Windows Defender do?" I agree that the answer to "What should OpenBSD's built-in antivirus do?" is "Literally not even exist," which it already does.)