Yes, it is possible to download the video recording of an interview. Go to the candidate's interview playback page. Right-click on the video recording panel and you will see an option to "Save Video As...". Choose this option to save the video locally.
Note that the options that you see by right-clicking the mouse will be different for different browsers. For example, in FireFox, the options may be different than that is shown above (which is from Chrome browser).