Kevin,
what your video is showing is completely normal. The only thing that holds your rotor in place is the caliper (which you must remove to replace your rotors). This is normal. The rotor is installed over the hub assembly and the lug bolts will hold everything in place when they are tightened. In your video you are turning the axle by the axle bolt. The axle is turning slightly, but the rotor stays in place (since it's not attached) and the sides of the rotor's bolt holes are hitting the studs you have there. It's normal. Put the wheel back on and tighten those nuts, there should be no problems after that.
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