Thank you, for some reason I had a lot of trouble with Google when trying to find this answer. It kept returning results about the video taken by the skycrane, not the rover itself.
Note that most of that video is taken by the rover itself, watching the skycrane fly off etc.
Indeed, we don't have any video from the skycrane after touchdown, because I believe that data was fed over an umbilical to the rover before being sent to the low orbit (I'd typed LEO, but I guess I mean "LMO") satellites and back to Earth.
