To the technically illiterate, will they know whether that file is executable or not? Essentially you are saying, just download it and double click it....
Are you certain a .mp4 is not a .mp4.exe file when by default you don't see file extensions in windows?
What I was meaning to say was download it, then start the
player and point it at the file. I remember the original 68K Mac trying to impose a one-to-one mapping from a file to an application that would open it so that it could encourage me to do things backwards and get the file to start the player, but even the restrictiveness of that notably restrictive system wasn't enough to conceal that the mapping is actually one-to-many, so the encouragement never "took".
Not having used Windows for years I do tend to forget what a crock it is. They really, really should have stopped trusting file extensions yonks ago, and got rid of that "hidden .exe" booby-trap. Of course starting the player and pointing it at the file means the player will simply moan that it can't play a booby-trap file, and won't try to execute it instead.
Still, when you are downloading a video from the URL that a site provides to feed to a browser-based player, this isn't going to be a problem, since if the URL pointed to something that wasn't a video file it would never play a video in anyone's browser. A sufficiently disreputable site might still try (unreliably) to sneak you a booby-trap in such circumstances, but I don't think Network Rail's safety video site is the kind of thing to try that.
Who is the third version for?
MP4, webm and ogg was the state of things when I was doing it myself, and what I saw "big" sites doing. OK, ogg seems to have faded now, but two versions is still one too many.