There are quite a lot of ways to watch videos on the quest 3 all with their pro's and cons.
Native with streaming (easiest)
Native with downloaded files (maybe for travel or something but a major pain if you have more than a few videos if you ask me)
Virtual desktop with downloaded files (best quality if you have a very beefy PC)
Virtual desktop with streaming
Etc.
Personally I use Native with streaming for passthrough and Virtual desktop with downloaded files for everything else. As passthrough is not possible atm with Virtual desktop and PC vr + downloads is the absolute best quality. For the latter you need a beefy PC though. If you don't have this it's probably more convenient and better quality to use the native solution.