As of the last time I looked into it, there were no video players that worked natively in CarPlay. If you long press on a video in Brave, you can add it to your “Brave Playlist.” If you set the playlist to download locally, you can play it in the Brave app in CarPlay.
Like I said, I’ve rarely used it. It’s a niche need, but Brave was the only app that did it when I wanted it.