You should use their HTML5 player instead of the Flash one. The former has speed controls.
- When I speed up the video in VLC the pitch of the sound goes up. This doesn't happen for me in Chrome.
- You don't get the "in-video quizzes" when you download the lectures. Some courses put them up for download separately, for others there is no other way to get to them but through the online player. The quizzes don't typically (never?) count towards your final grade, but they can reinforce concepts and correct mistaken understanding early.
On the other hand,
- I have finer speed control in VLC, and
- The video players on my computer are just "nicer" than the web alternative, maybe better than a web alternative can be.