seems you have some setting out of adjustment.
i just checked on a fresh Dolphin 7.0.5, videos are viewable from non-members, made no settings adjustments prior to this test. i went to admin --> settings --> membership levels --> non-members and disabled view videos,
logged out of admin, video thumbs are viewable, but when i clicked to play the video, i get Access if Forbidden, which is a different message than what you have.
then i went back into admin panel and enabled video view for non-member, but then on page builder, opened the page from admin --> builders --> pages builders --> view video --> view video block,
i unticked Guest.
now this does not give me any type of message but a non-member (also referred to as guest) is not able to view the video, but can see the description of the video and the thumb.
the message you are seeing could be some remnant from the upgrade, because i am not seeing the infamous "Access Denied" message
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