Trying to remove the download button on WordPress Native Video Player?

This is actually the default behavior of how the browser renders HTML5 video.

From this post you should be able to use the following CSS to hide the button.

video::-internal-media-controls-download-button {
    display:none;
}

video::-webkit-media-controls-enclosure {
    overflow:hidden;
}

video::-webkit-media-controls-panel {
    width: calc(100% + 30px); /* Adjust as needed */
}