Instead of recording a video of a shopper on your site (which would take a ton of bandwidth / slow down your site considerably), Replay apps like ours work by copying the actual website code and any subsequent changes made to it. When you view a replay, you're actually viewing a mini copy of your site and our app is making changes to the code in this copy to reflect what the shopper experienced.
This method is very lightweight, and doesn't slow down sites, but there are limitations to this method.
One of them is that we can't record any rich content like videos, audio and, due to browser security restrictions, any content that appears in an "iframe" (a special HTML element that allows loading of another website's content inside of a website - review apps often use iframes. )
For videos, our app can record the frame and background of the video (which can include an error message about needing to enable Javascript), but not the video itself.
For images not loading, our app doesn't record the image itself but instead the URL to the image. If the URL to images changes in between when the recording was taken and when the replay was viewed, the images in our replay won't load even though they loaded for the shopper.