Download embedded video

I have access to Azure training videos, but no option to download videos via the site for offline use.
What am I missing to download the entire video?

Invoke-WebRequest -Uri $uri -OutFile Module1.mp4 

Some of the browser’s web dev tool info is below:
DOM shows the following url for the embedded video:

Network Monitor shows the following while the embedded video is being played in browser.
Type: mp4

In theory, it’s a case of downloading all the segments, joining them together, then converting them to an MP4 using something like ffmpeg. I’m not sure it’s as simple as that in practice…

If you’re open to non-PowerShell solutions, then VLC media player is capable of downloading video streams and I’ve had some success with the Video Download Helper plug-in for FireFox. In FireFox, you can sometimes right-click and Save As… on MP4 videos as well.