Hi Ian - we are working on a solution for this. I don't have an ETA yet but we're hoping to change the interface so that you'll be able to right-click -> "Save as..." like you would expect.
This was an oversight on my part, I'm sorry you're having this problem. There is also a workaround if you are in a bind. When you click to download an MP4 it will open a new browser window. From there if you copy the URL you can then paste it into a download manager (such as FreeDownloadManager.org) and use that to download the file.
But hopefully we'll get this fixed soon.
Brian Keller
Microsoft Corporation