In order to save photos onto your Clickfree from One Drive, the videos should be saved in your laptop's local storage and not in one drive personal.
You can do this by moving them out of one drive and into your photos folder (or creating a new folder if you so choose and move them into there).
For the videos that are not backed up, have you tried manually transferring them into the Clickfree drive? If you haven't tried it yet let me provide you with the step-by-step process on how to do it:
⦿ Plugin the Clickfree device into the computer
⦿ Open File Explorer. To open file Explorer you can press and hold the WINDOWS key together with the E key.
⦿ Click on This PC from the left pane.
⦿ Open the Removable drive (Clickfree)
⦿ Select the video or file you want to transfer then Copy and paste it to the Backup Folder under the Clickfree drive.
If you follow all the above steps correctly, you can easily copy the video from your computer into the Clickfree drive.