Hi Meg.
Secure Downloads addon is meant for downloading files, not links sharing. It also does not download stuff from YouTube as well. Though if you help me to understand what you’re trying to achieve, together we can figure out the best way of doing this 😉
If you just want your customers to get a link to YouTube video after successful purchase, you can either display it on checkout results page (thank you page) or on buyer’s email, or both. If you want your customers to download video as a file, first you need to download it from YouTube yourself, then upload the file on your server and then use its URL is Secure Downloads.