“Why would anyone want to watch a video of people being beheaded?”
To witness the evil? To sear the images into our memory and consciousness so to help fight against the wavering of resolve?
No one “wants” to watch these videos - the premise of your question is flawed - but some of us see value in doing so even though we do not relish or enjoy it. We are disgusted by it but we will not shield our eyes or turn away from the evil.