After you have imported your ROM set, try selecting all of your games in Arcade (click on the first game scroll down hold shift and select last game) so that all games are now highlighted in LB, Make sure you highlight all of the games you wish to do this individually for not the entire platform to edit. Next, go to tools and select download metadata and media, you will be greated with the number of games you wish to edit. Now uncheck all boxes except for video theme and see if that works. I experience the same issue importing on other consoles so i usually leave any video media unchecked and will work when you do it this way a second time, If other consoles have no video this works by making sure low quality video is left unchecked and only high and highest are left checked along with video theme. I am assuming you want just the video themes for the arcade so leave everything unchecked except for video themes, if this doesn't work and you have all of the images you want then try using the Emumovies scraping (sync) tool, It is a way faster method to download the video files you need.
https://emumovies.com/files/file/321-emumovies-sync/