Its an OS limitation (yet) that the app only has access to the private memory i.e. Only its own app data and hence it gets saved there. I think uc browser has an option to export videos to memory but you may have to check it out.
Hi! This is because the music and videos you download saved in the app as data, some apps five you an option to send music to SD card ( windows phone 8 only ), but videos no this is one of the limits of windows phone OS.
You can see that by opining storage checker from settings and you will see app data increased when download any video
( sorry for poor English )