It probably depends upon the phone (I have an Android), but... I noticed that, if I forgot to stop the video, and disconnected from the aircraft, that video would not be saved. I think I may have also lost the whole video when my phone lost contact with the Tello, due to obstruction or being too far away.
Thanks for the replies, they were a real eye-opener, and from which I am now confident it is because I would forget to stop video recording before shutting down.. a) the tello app, or b) the power button on the Tello.