How to re-download a video in Whatsapp? I downloaded a video shared in Whatsapp. After playing, I deleted it using MX Player Pro.

Now, when I tap that video in Whatsapp, it says "Sorry, this media file doesn't exist on SD card." I was expecting that Whatsapp would try to re-download that video.

How to force Whatsapp to re-download that video? Or, does Whatsapp delete media files from server after being downloaded?
Once a media file is downloaded from the WhatsApp server it is indeed deleted the from the server. See this article: http://www.whatsapp.com/faq/general/28030002

The daily backups that other users are referring to only restore text and metadata content of messages. The media content (eg: images and videos) are stored on your device in a folder on the sdcard (typically in a location such as: /sdcard/WhatsApp/Media/) and is not part of the daily backup and so must be retained in order for WhatsApp to be able to find it.

There are methods to restore files from flash media once deleted but this requires you to act quickly. I will not talk about this here since this is not your question.