Sadly, iOS and Safari do not allow this by default. We wish we could tell you why, but we don't know.
So you have 3 options.
1. Download the mp4 to your desktop, and import it with iTunes.
2. Search the app market for a video downloader or something along those lines that works with Safari. I wish I could recommend one but the last 2 we recommended were pulled for unknown reasons.
3. Use a browser other than Safari for you iPad/iPhone. There are quite a few other browsers available that do allow downloading. Do a web search to locate one.
We apologize that we couldn't provide a more efficient solution.