The final scene of the game seems to have been made before the storyline was fully developed. It makes no sense that he calls her his "biggest failure," for multiple reasons. For starters, HE is the one who betrayed her by abandoning her, so he is the one who took the first step in 'failing." Secondly, once he abandoned her, he had nothing to do with her development, so in no way could she be seen as a failure of his anymore.
Any attempt to link Mengsk to Amon is just desperate to give depth where there isn't any. There is absolutely nothing credible in the gameplay, cut-scenes, or storyline to back it up, so why would Blizz want to tie them together, but make it so that only a few people who fill in gaps just happen to make up the right story for the gaps know about it? Surely if it was Blizz's intent to link Mengsk and Amon, they would have made it more clear so that all players could connect the dots, not just a select few outliers.
Notice that he also talks about "keeping her close". Watch the video again if you don't remember it. This line does not flow with the storyline. He has not been anywhere near her in years, yet she has been "close"? Again, this video was made before the storyline was, and the cost of the CGI was too high for them to alter it. It is the only thing that makes sense here.
Another thing is that if Amon was assisting Mengsk (or as you claim *is* Mengsk), why does he not make the Xel'Naga artifact more effective in taking her out? In the first SCII, the blast from the artifact is huge and extremely widespread. However, in HotS, it only lets out a few jolts of electricity, seeming to only have a fraction of its original power. If Amon had anything to do with it, surely someone as intelligent and powerful as him would not have done it so half-@ssed. Don't try to give Blizz credit for making some elaborate, elusive storyline that simply doesn't exist.