I can see the video, but it's very hard to get a good look at the bug.
I see it's short, has six legs and big eye bulbs - which makes me think Damselfly nymph.
Does it look like how Google Images says a damselfly nymph looks?
If so, damselfly eggs often hitchhike on plants and live food from aquarium stores. The nymphs are predators and can often survive on little critters living in the aquarium. To adult axolotls they are harmless (though the axolotls might eat them if they manage to spot them).
For larvae or very young juveniles, however, they can be dangerous. In general, the damselfly nymphs can eat anything that is the same size as them or smaller.
They are pretty cool to have in an adult axolotl tank - but I would keep them away from the hatchlings.
