The reason for the overlay is simple. The download video files are not copy protected. This means that it is possible for people who do not respect intellectual property rights to distribute the files.
Since I do not like copy protection this is the only fall-back that we have... that hopefully someone with a pirated copy will know where the files are to be found, and will eventually come by and make a purchase.
I think this is a very reasonable position to take.
Most "copy-protection" schemes don't prevent copying, but rather make it difficult to perform playback, so it's inconveniencing regular users more than mass-copying bandits.
Perhaps this, or similar approaches, is how we'll deal with photos, movies and music in the near future.