Finally I could understand why in my scratch org a video player shows an error. If I turn off enhanced domain in the org, the player appears and works good, but if I turn on enhanced domain back, the player shows the error again.
It looks like the component doesn't form the proper link to download the video if enhanced domain is enabled.
Related link: https://help.salesforce.com/s/articleView?id=sf.domain_name_url_format_changes_enable_enhanced.htm&type=5