The first one is that the app you downloaded the video from has its own storage path. He will not store it in the album. You can find the storage path in the app's settings, and then you can find the video you downloaded.
The second is the video you downloaded. He is a cloud video, which means that it is stored in the cloud, and he does not save it in your phone. To download a video stored in the cloud, you generally have to access the cloud through the internet to find the video you downloaded.