Just wanted to update this thread - Udemy support answered my question. There is a way for us to download and I've confirmed that it works without a water mark. Here are the instructions.
To download your videos just follow these steps:
1. Go to the instructor dashboard
2. Click on the course
3. Click on the curriculum section
4. Click on the lecture you want to download
5. Click on preview
6. Click on "as instructor"
7. Click on the gear icon in the video
8. Click on download
9. Repeat the same process for each video you want to download
Thank you @ElianaC for your answer. It really help me a lot. I am a thinkific expert actually and new to Udemy , don't know much about Udemy as a instructor. If you need any technical help , I will be available.