Is there a way to directly convert .mp4 files to .scr format?
Converting MPEG-4 Videos directly to Windows Screensaver format (.mp4 to .scr conversion) is possible and relates to users attempting to generate a screensaver by extracting video data from an MP4 file.
That appears to be quite difficult. You could, however, try using the InstantStorm tool, which is capable of generating SCR files based on SWF movies.
In that case, you need to first convert MP4 to SWF, load the resulting file in InstantStorm, to then export your SCR screensaver.
A free Flash screensaver creator for Windows