There's a chance that the video was/is stored in Files and that it is unpublished. I would reach out to your instructor and ask for advice. Sometimes, that little question helps a lot!
I'm an instructor and my students are getting the same message. I didn't know that there was a "publishing" step involved. How do I do that?
Some of our instructors have had similar issues. We found that more times than not, our faculty were sharing links to videos from Panopto (or another media app) instead of downloading and sharing an MP4 link. If the video/media is avail. from an MP4 link, I suggest that you upload it to your CanvasGuides: Studio.
I hope this helps!