When MovieRecorder fails to write a file to a Volume, there could be a number of reason (the disk is full, no permissions to write, etc...). Having a look at the Logs window will help you understand the cause of the issue.
It is usually self-explanatory, as you will see:
Could not create file /Volumes/Video/MyFile.mov. Reason: Disk is Full
If there is no more space available on the disk you are trying to write, or:
Could not create file /Volumes/Video/MyFile.mov. Reason: Permission denied
If you have no permission to write to that folder, or again:
Could not create file /Volumes/Video/MyFile.mov. Reason: Directory could not be found
If the folder that you are trying to record to has been renamed or deleted.
But there are also some logs that use error codes. So you could see something like this:
Could not create file /Volumes/Video/MyFile.mov. Reason: Error 60
To be able to know what is this "Error 60", you will have to read the following article that references the different errno errors.
For example, the Error 60 is explained as:
60 ETIMEDOUT Operation timed out. A connect or send request failed because the connected party did not properly respond after a period of time. (The timeout period is dependent on the communication protocol.)
Note that these error codes are generic and provided by the macOS when an application do system calls. You could use the documentation above for other applications.