You simply need to create a new Group Policy, that blocks the items you want to block, and allow what you want. Then change the policy for those clients from Normal to the new policy, and the policy will override the default settings you have which is to block all website with video etc.
That's likely. The content filtering whitelist would just make sure that nothing is blocked based on the content filtering level. But the firewall will still block based on what it is setup to do. I'd just give it a short test to see if that is indeed the case.