Be default, the videos are saved at the device's "DCIM" folder under the "Horizon" subfolder: /DCIM/Horizon
In Kitkat (Android 4.4) and Lollipop (Android 5.x) devices, the "Storage location" preference appears in Horizon's settings.
The second options, "SD card" saves your videos in the SD Card inside Horizon's folder. Due to technical restrictions, if you uninstall Horizon your videos will be automatically deleted.
In Android 5 devices, the "custom folder" options is also available. You can choose whatever path you want. On some devices, if this path resides in the SD card, Horizon will not be granted write access and a warning message will be displayed.
Warning: If you are using Android 5.x and Horizon can't write to the SD Card using the second option, chose the 3rd option "custom folder" and select a folder inside the SD card.