I'd recommend downloading the video again (or testing a different video). Maybe the file didn't download properly the first time. Are you downloading the file on your PC and manually transferring the file over to your Quest 2? If you're just clicking the download link, and then opening the HereSphere media library, and clicking the saved link there, then the app will just try to stream the link again. HereSphere doesn't actually download the file to your storage.
HereSphere only supports SMB2/3 at the moment (not SMB1). I'd recommend using XBVR to set up a local http server to stream your local network files if you can't get SMB to work properly.