Watch videos from my cloud without to download them for extern

Not necessarily true. The video will start playing as its being downloaded, same with Music. Currently the My Cloud for Android mobile app will play music within the WD mobile app where as the video is played with a third party app (I use MX Player).

WD disabled the full WebDAV when they revamped the WD2Go.com/MyCloud.com web portal and released the OS3 My Cloud firmware. One can use the CloudDAVMod to access the My Cloud remotely using WebDAV. One can stream video from the web interface of the CloudDAVMod in addition to mapping the My Cloud remotely.

https://community.wd.com/t/app-clouddavmod-v1-0-for-firmware-v4-05-2016/161543