>What's Send encrypting with? It doesn't show anything related to setting up a password during the video.

Likely a random string that is added to the download URL as Fragment (the part after # that doesn't get sent to the server).

The download URLs look like this:

https://send.firefox.com/download/50d43ef5f3/#GqCJXOUnCyxYGc...

I agree that there is very little explanation beyond "look at this cool thing".