You need to choose an app to open each one individually. In Windows 11, you can’t just choose an app to play all the video file types I mentioned above. Despite this change in Windows 11, it's still not tremendously difficult to change the default web browser, for example, but choosing defaults for other applications may require a bit more effort. For file categories, such as videos, that's a problem because of the sheer number of formats that exist: AVI, MP4, MOV, MKV, and WMV are just a few of them.
With Windows 11, the process is more complicated you need to specify a default app for every picayune file type, not just for a broader group of them.