You can use a stream video downloader cause all the files are served trough an HLS stream.
Or you can do it manually.
The advantage of this site is that the files are not encoded on the fly and you can actually get the full playlist for a video.
So first identify the m3u8 playlist and see the number of ts files included then find the hosted ts files link
After that you can use a ts joiner to get them all in one video
Example (random page video course preview): identify the playlist and download it for later access
See the request url in the right? Just copy that and replace the ts files number one by one with the ones in the first list you downloaded (preferably)