It appears for the moment Peertube uses hardcoded STUN servers for WebRTC peer discovery. [0] It may be that your browser is blocking those 3rd party requests for privacy reasons.
I was wondering the same thing. Looks like the videos are shared using WebRTC, which I have disabled in my browser.
WebTorrent (https://webtorrent.io/) is built upon WebRTC, but I believe PeerTube should fallback to simple HTTP mp4. There is a download link handy that you can open in the browser, vlc, mpv or your favorite video player.