Here is the step to follow to download Microsoft Teams video that does not have a download option available. We can construct the URL ourself, but that would be too cumbersome. There is an excellent Chrome Extension which finds and constructs the URL which can be downloaded with ffmpeg. The Chrome extension is SharePoint-Video-Downloader-Extension by MexxDirkx.

It would be better if we download each video one by one. Else there could be rate limiting and other issues.