There is no such feature out-of-the-box. One thing you could do is have a Custom HTML module with an AllVideos plugin tag for a video and then use some CSS to position the module absolute/fixed.

Are you referring to the black bars left and right? These seem to be part of the video.

Keep in mind that if you want the video to play in a loop, you need to enable mute by default in AllVideos' plugin settings. Browsers don't allow starting a video in a loop with audio on by defaut anymore...

Great :)