Colbert and John Stewart do it all the time and I doubt they ask for permission for every single little clip. It would count as 'fair use'.
http://www.orbitdownloader.com/
Use Orbit Downloader, it rips everything, I've been using it for a year or two now, it's amazing. Open up Grab++ within Orbit, reload the page and the video will show up in Grab++, select it, hit download and it's yours.
The method that Skalman posted using the Firefox Web Console works perfectly as well, although in the CNN video that I posted above, that method seems to download a .flv file, whereas your method seems to be downloading a .mov file. Interesting....
EDIT: Both the .flv and the .mov seem to be the same file. They are both exactly 11,840,167 bytes, so that leads me to believe that they are the same file. It is interesting however that your method and Skalman's method download the same exact file just with a different file extension. I wonder why this is.