This started happening after the latest update. What happens is, when I try to download a webm video file, it only displays the Open dialog and launches my external video player (mpv) and streams the video from the link. It doesn't save the file even temporarily.
I've already tried the "Ask me what to do with each download" setting.

MS Edge won't let me save/download webm videos-2020-10-11-12_39_36-window.png

Webms play fine in the browser, it's just when I try to download one that this happens.

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Update: Noticed this also happens with mp4 videos. Before this update I was able to save video files normally with right click > save video as.

Now, the only way I've found to save a video is to use Save link as, as shown below. That invokes the regular Save as window and lets me save the file.

MS Edge won't let me save/download webm videos-2020-10-11-14_44_07-.pngMS Edge won't let me save/download webm videos-2020-10-11-14_44_31-window.png