The "Snap Videos" are nothing more or less than the display of a small gameplay video instead of your usual "scrap" in your list of games.
You can see a video clip of it here.
For those who have never used this function, you should know that videos take up space very quickly, despite their excellent MP4 compression (count between 1 and 6MB/piece depending on the system).
If you want to take full advantage of this function, a USB3 hard disk of 1 or 2TB will be essential !
In order to enjoy these videos, you will have to (re)scrape your game lists, using Skraper or the new internal scraper of Recalbox.
See this page of this documentation.
You can watch this video to learn how to use Skraper (French - enable sub-titles).