I was too busy posting screencaps to actually comment on the video's content when I was online this morning, so let me add that even this brief shot of [different] gameplay was highly impressive, not least because of the snow and generally awesome dungeon ambience.
It's technically a leak, I suppose -- and I doubt Bethesda are too pleased about it -- but they can take comfort in yet another extremely positive reaction to Skyrim.
Why would there be snow falling inside a dungeon?
I'm assuming there's a hole in the ceiling because it looks like it stops as the player approaches the casket.
I'm pretty sure it was mentioned in one or more of the demo articles that snow is actually blown around by the wind, and that there are indeed gaps in the dungeon walls, exterior sections mid-dungeon, etc.