Thanks for the reply. I contacted Pearson VUE back in June and they were not really helpful providing me with any information about that. I eventually gave up as following up with them was pretty time-consuming.
Since then we've received more alerts in DFCA (previously known as MCAS) after our users took Microsoft exams through Pearson VUE. Hence, the video (and audio?) of the online exam is uploaded to storage in Pearson VUE's Google Cloud.