The terms "downloadable" and "don't want them to share" are diametrical. Unless you embed Digital Rights Management into the videos, and sell license keys separately; there is no fool proof way to prevent sharing.
The best approach would be to do what brick & mortar stores do; account for possible shrinkage (shoplifting) into the purchase price.
If you use the native Amazon S3 integration feature of eStore, files sizes would generally be of no concern. If you host the files on your site, you may run into performance limitations related to the kind of hosting package you are using.