Ah, that could be because I've enabled domain protection so the videos can only be accessed when clicking the link from my site. If you open the link in a new tab for example, you'll most likely get that error. Are you opening in a new window or just regular left-clicking? I think/hope the latter should work.
I was left-clicking. I found that it occurs on Chrome and Firefox but not Edge.
Ah ok thanks. I will definitely investigate. Very strange.