Browsers usually offer to download files with extensions they don't recognise, basically it's the browser saying "I can't display this, do you want to download it?". In this case the file appears to have no extension as observed by OP.
I think kbin is working fine, the preview did as expected and shared the URL of a video file (but unclear why OP doesn't see this as an mp4 video file).
My guess is OP will get the same popup if in navigates to the page with the video as he did from kbin. This issue is (I think) the video file's URL, not kbin.
Nothing at this point makes me think kbin could or would have included anything it shouldn't have in the preview.
All of that said - Would I be cautious if I saw the pop-up OP shows, yes absolutely. And while what I can see isn't hostile that doesn't 100% mean the website isn't convertly doing something on occasion, or for a subset of users. It is entirely possible to make a website show different people different things.