No, it's not that. Usually, the OS does see the video and the compositor still renders it to the screen like normal, but when you take a screenshot, the OS itself is an accomplice here by not rendering that surface in screenshots.
Not true about Android at least — there is secure boot where the bootloader will snitch on you if you unlock it, and you can't do anything about it because the attestation happens in a trusted execution environment, a hypervisor with higher privileges than the OS kernel, that you never get to unlock.
