When you receive a notification, there can be up to three different ways you can watch media related to the notification:
If the notification has uploaded a video clip to be attached, it can be watched within the notification itself by clicking the play button overlaid on the preview:
You can watch the live footage from the feed that has generated the notification, by clicking the "Watch live" link within the menu:
You can watch the recorded footage (if available) from the feed that generated the notification, by clicking the "View recorded footage" link within the menu: