SD cards have historically been intended for media storage (i.e., music, photos, and video files), and can be very useful for people who like to have their entire music library locally stored, for example. Some devices allow you to set the SD card as the default download location, but this feature is not that common. If you don't have enough Internal Storage for the initial download, then the other option is to download the file on your computer, then transfer the file to the SD card.
Some of these limitations are intended to discourage indiscriminate filesharing (i.e., piracy), which is why most legitimate video site and apps don't allow you to download the video file as a discrete file that the user can manipulate freely.