I can't save my videos from iCloud to my camera roll

skb134,

Videos can only be downloaded from a shared Photo Stream on a computer.

Can photos and videos be saved or downloaded from a shared album?

Yes. After photos are shared, anyone who can view the shared album can download and keep them permanently. Videos can only be downloaded to a Mac or PC. On an iOS device, videos are streamed from iCloud and can't be downloaded.

iCloud Photo Sharing FAQ
https://support.apple.com/en-us/HT202786

Cheers,

Allen

does anyone know how to actually do this?

Purchase the videos from iTunes and then sync them.