I believe they added Bluesky recently so it has some issues. I tried it a few times & got it downloaded as an mp4. I just had your issue when trying it but I tried it again with the same link & it worked. I also had it download & cut off a few seconds but it fixed itself when I tried again.
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https://cobalt.tools/
Paste it in your favorite chat app as “fxbsky.app/“
Download the vid from the preview