Video file location of dynamic wallpaper preview in system preferences
It's not a separate video.
The preference pane loads the different components of the HEIC and fades between them.
Evidence:

Creating your own dynamic wallpaper only requires the HEIC and the animation plays in the preference pane fine without needing to also create a video.

Watching file events shows the following file loads when changing desktop background selection from The Beach to The Lake; no video file is loaded.
  501   1528 com.apple.preference.desktopscre  15 /System/Library/Desktop Pictures/The Beach.heic 
  501   1528 com.apple.preference.desktopscre  15 /System/Library/Desktop Pictures/.thumbnails/The Beach.heic 
  501   1528 com.apple.preference.desktopscre  15 /System/Library/Desktop Pictures/The Lake.heic 
  501   1530 VTDecoderXPCService   4 /System/Library/PrivateFrameworks/AppleGVA.framework/Resources/Info.plist 
  501    398 Dock          34 /System/Library/Desktop Pictures/The Lake.heic 
  501   1528 com.apple.preference.desktopscre  16 /System/Library/Frameworks/VideoToolbox.framework/Resources/default.metallib 
  501   1528 com.apple.preference.desktopscre  16 /System/Library/Frameworks/VideoToolbox.framework/Resources/default.metallib 
  501    398 Dock          34 /System/Library/Desktop Pictures/The Lake.heic