For the question "Does running First Aid on Mac delete files?", the definite answer is that First Aid won't erase any data on your external hard drive.
There are some other reasons for the video missing from the external hard drive. And there are some effective methods to recover deleted files from external hard drives on your Mac, such as unhiding the files and running data recovery software.
Only issues associated with the file system format and directory structure of a Mac drive are checked for and fixed by Disk Utility First Aid. It shouldn't delete any data on your external hard drive. It seems that the folder with your video material was lost from the external hard drive before you repaired the disk.
According to your description, Mac won't recognize the external hard drive before you run First Aid; that is to say, there is something wrong with the file system format and directory structure. And such logical errors could also cause files to be lost from external hard drives. Then, you need to recover files disappeared from the external hard drive on Mac.
Method 1. Restore lost files from Mac Trash. Perhaps you accidentally deleted the folder; then, you can put the folder back from the Mac Trash.
Method 2. Recover and show hidden files on Mac. Perhaps the folder is hidden by mistake.
Method 3. Recover missing videos with iBoysoft Data Recovery for Mac. Due to corruption, deletion, and some other errors, the files may be lost from the external hard drive; then you can try iBoysoft Data Recovery for Mac, professional data recovery software to restore them.
