If the users upload them to the client’s server, they will live on the client’s server.
One hurdle could be that v4 can run into upload size limits, which video files might exceed. v5 will add chunked uploads for the Panel that allow uploads with no specific size limit. While this is for the Panel and not for your own frontend upload, you would still need to implement the chunking on your frontend part. But at least the backend support will be in place in v5 which in v4 you would have a harder time to implement as well.
If the video files aren’t too big, Uploading large video files? - #3 by Andi-Lo probably still applies for handling the limits.