Often for no appearent reason apart from 'just beceause we can'. Links will open in another window or pop-up thing or maybe something else. You can also right mouse button click on the link and go 'save link as' (Microsoft may call it something else) to download to your machine.
Most have been downsized in resolution for faster interweb transmission. The bigger versions are far better and can go full screen. Don't forget to pump up the volume.
Low res Vids