You may have forgotten that Steam sells movies, but it does, for some inexplicable reason. It's OK, Valve probably forgot, too. It's finally remembered, however, and has decided to retire this largely invisible part of Steam.
"For the past few years, we have worked on expanding Steam beyond games and software by building a video platform that supports paid and free video content," reads the announcement. "In reviewing what Steam users actually watch, it became clear we should focus our effort on offering content that is either directly related to gaming or, is accessory content for games or software sold on Steam."
It's not all videos, then, but the video section of the menu has been removed, so the only way to find videos is via the related store page—if it's a 'making of' feature for a game, for instance—or through tags and recommendations.
The non-gaming videos will start vanishing from Steam over the coming weeks. While you won't be able to purchase new ones, those you've already bought will still be available.