We debate this one a lot too - it just feels odd to gate a video as a user experience. One option I've seen used is to record a preview and let people watch that and then ask them to complete a form to watch more. I am not convinced about that as a user experience though.
The video assets can be gated even without the need of a Thanks page. We implemented this for one of our customers where we would show the video if it was a known user. If it was an unknown user, we would show the form using a JS code. The user had to fill the form to play the video.
The argument for gating a video or not gating it would depend on the content of the video. Typically, it is fine to put the videos behind a form for recorded webinars, advanced product demos or instructional videos. Marketing videos can always be used as non-gated content.