Ah, I see what's going on... the first loading indicator is running during the time that we load up OOUI etc, before we have a dialog, so it's just sitting on the page globally instead of being anchored anywhere in specific.
I think it should probably get moved to over the clicked video, or something, though I'm not 100% sure how to anchor this well for small or audio widgets.
I've seen this and I considered this a feature, not a bug, because it allows the user to see the video capture better. Anecdotic evidence from a discussion on ro.wp seem to suggest I'm not the only one. Seeing the videJs player vs the previous one, people reacted with "ah, that's slightly better [for infoboxes]"
You are mistaking the notion of this task, this task about the loading indicator displaying in the random place, not about the video player being displayed in a modal window. Your feedback is more apt in T246035: Videojs player for audio opens a dialog, which is unexpected.