You missed the "Optional Dependencies" section in the guide:
libsdl1.2-dev: Required for FFplay, a simple media player using the FFmpeg libraries and the SDL library.
You will need to install this package and then uninstall FFmpeg, make distclean, reconfigure FFmpeg, and then finally reinstall FFmpeg. Refer to the "Updating Your Installation" section of the guide. I also suggest using the provided FFmpeg configuration options shown in the guide for better usability.