My best theory this point is OP's browser is cropping the URL for some reason, which means the ".mp4" part isn't seen. The browser is then trying to save the 404 response to the request for a file which didn't exist, and had no extension.

I looked at the actual web request url it's doing for me.

https://downloader.disk.yandex.ru/disk/dfc79ab0f88295834385d89e14b27d1f687e201bf8074f21e0d0d9972096319a/64dc8782/MuDSbA9z5TnczT15nZM5t_fipdB2eZIesleov6SiJ-7hJ1g7sSwJpQ0_lNHok396G53tTWxxKw4e4Gu_L_UmFQ%3D%3D?uid=465360380&filename=7fed06c9.mp4&disposition=attachment&hash=&limit=0&content_type=video%2Fmp4&owner_uid=465360380&fsize=14161986&hid=9d62d8b95cb1158833293fffdf4deada&media_type=video&tknv=v2&etag=a5f932a629c3d365ed6d74bd3ac546e6&expires=1692173809

I don't know why they're getting a download offered in the first place for such a scam looking url, but the display on OP's image is clearly separating the url into its components and only displaying some of them (the domain and file name). The file extension isn't part of the url itself here but rather the parameters which aren't displayed here because there's usually no need to and they would take up way too much screen space on mobile.

I think hiding the parameters is a good idea. While comments suggest this is a real video file, this could have easily been a virus disguised as a video. By hiding the parameters, you're preventing unsuspecting users from putting too much trust into those parameters.

Edit: reworded the comment