Answering my own question, I found the folder that stores the Art of War videos. I have to manually go here to view them. Posting for others in case they have the same issue as me:
..\Steam\steamapps\common\AoE2DE\resources\en\campaign\movies
I only have 9 vids in my folder, so I’ll assume that’s all of them.
It’s too bad the game doesn’t play them correctly, and hasn’t/can’t for years