It makes perfect sense that you'd like to download the IntelliPlayer video with all it's Calls to Action, Optins, etc.
However, this is a technical impossibility due to the nature of video files, not a shortcoming on the part of IntelliPlayer or its developers.
IntelliPlayer creates interactive layers that sit on top of your existing hosted videos, and those layers only exist via the IntelliPlayer embed code.
That's why your original video must be hosted somewhere (Youtube, Vimeo, Amazon S3).