There's no 'Select Player' pop-up to insert the JW Player shortcode for the video in the new media window sidebar in WordPress 3.5.
I did find a kludge to get it to work:
1. Install the Add From Server plugin.
2. After you click on the new 'Add Media' button on the editor page click on 'Add From Server' link in the left sidebar.
3. Click on the text link 'Media Library tab'
4. The old WordPress 3.4 styled media window will appear