@KevinShlosberg ...
Sorry for not quite understanding your question. This is really going to depend on what your instructor has configured for the videos in question. There are really about three kinds of videos that your instructor can add to Canvas Studio... videos from YouTube, videos from Vimeo, and videos that have been created by the instructor himself/herself. If the videos are coming from YouTube or Vimeo, you won't be able to download those to your computer. You'd have to know where those videos are located on the respective websites. If the videos were created by your instructor, there is a toggle switch that instructors can switch on/off to allow or not allow downloading of those videos. There is no toggle switch to allow downloading of YouTube or Vimeo videos. See the example screenshot under the heading "Resize Embedded Media" in this Guide: How do I embed Canvas Studio media in a Canvas cou... - Instructure Community - 1699.
I hope this helps to explain a bit how Canvas Studio works. If the videos were the instructor's own creation, you might try asking your instructor if he/she would be willing to allow the download option.
Sorry I don't have better news for you, but I hope this helps in some way.