They took out of the option to save Zoe video locally... So.. to make the answer short... YOU CAN NOT SAVE IT LOCALLY...
you will have to upload it to HTC server first.. then download it..
what a stupid move for HTC
the 4.4 update took away the feature to set different wallpaper on the lockscreen... sucks!!! Please help us to get that function back!!!
http://www.change.org/petitions/htc-we-want-to-customize-our-lockscreen-style-in-htc-sense-5-5