I prefer 'in' or 'with'.
'on' video refers to the medium- or it used to, when video tape was introduced. Today, the term video has come to include all electronic media. 'The story is on video- not on film or live.' The content of the video is what failed, and content is in the medium.
Hard to imagine using at with video, unless the person did a very poor job of creating the video. 'He wanted to make a video, but he wasn't very good at it.'