D5200 has the shadow banding issue in stills as well, so it appears to be a sensor issue :(
http://connect.dpreview.com/forums/thread/3377555
edit - Nikon is looking into it apparently
Did a little test with an old foam wind screen from my Shure SM8 microphone, which has an internal diameter of 25mm.
Was a bit tight to get on, so 35 mm would be better.
Works pretty well and is dirt cheap - just ordered a set of five 35mm internal diameter foam wind screens from Ebay for well...