I don't think there's any built-in solution for this in Canvas itself. We use a video product called Kaltura, which offers a ton of customization, including the ability to allow (or not) downloads of the video. Even with a product like that, it's still possible for students (or anyone else) to just run a screen capture software to make their own copy of pretty much any video. It's harder than clicking a download button for sure, but still possible. You'd probably have to figure out how big the concern is at your institution.