Always best to watch live or download asap (as FB keeps changing rules/access) . But here are download instructions for future reference with screenshots in photo above:
Click on video to play it large on Facebook.
Click on 3 dots top right corner of description (white background) to get dropdown menu.
Select download. That opens up the video in new window.
Click on 3 dots bottom right corner of video (black background) to download the video.
Voila! Video downloaded.