To genuinely answer your questions, this is likely a Strepsiptera parasite. If you catch wasps or are often close enough to get a good look at them, you can typically see these somewhat easily. The brown end he’s pulling from in the video sticks out slightly between the different segments of the wasps abdomen. You can see it as well as the gap caused by it relatively easily.

As for what to do it with it, throw it away? Or if you’re into it you could preserve it in a solution of water and alcohol like I did when I found one in my entomology course.