Exactly... it is IMPOSSIBLE to make a video un-downloadable. Thats just not how the internet works. In order to watch a movie, you have to download it... whether its to a temporary folder, or a folder of the user's choosing is negligable.
I've been looking for some video streaming service that allow me to embed directly to XF and allow direct file download from that embed.
Haven't found anything. Nginx has mp4 pseudo streaming module which I will utilize for the time being and served them via JW Player.