what app are you using when you view these movies/clips? If you are in Safari, they are not downloaded, as said, they are just streamed to you. When you exit Safari, the streaming will stop.
If you are opening these clips in another app, that app may be saving the clip within its own files. You will need to go into that specific app and see if there is a file to delete.
The iPad is app-centric, not file-centric. There is no central download area; each app has their own storage.