Yeah, this is a good demonstration of a phenomenon called "Shear Blocking" in fluid mechanics. Most often for this to happen, the fluid is a (colloidal) suspension of microscopic solid particles in a liquid. People in the paint industry and in paper coatings know about this, among others.
A Newtonian Fluid has constant viscosity no matter how it is treated. You move a stick through the fluid at a fixed speed, and it takes a certain fixed force to do that. To make it move through the fluid twice as fast takes exactly twice as much force. But in a non-Newtonian fluid the viscosity changes according to how fast you try to move the stick through. Many systems show much higher viscosity at high stick speeds, or "shear rates". So, for example, moving the stick through at 100 times the original speed takes much more than 100 times to original force.
The extreme of this is "Shear Blocking" in which the viscosity becomes so huge it's almost infinite. So if you try to move through the fluid VERY fast, it takes absolutely HUGE force. That's what is in the video - stomp hard on the fluid surface, exerting a great force and trying to penetrate into the fluid rapidly. But it reacts by refusing to let your foot penetrate because you're not stomping hard enough! So you don't sink!
By the way, the opposite of this is called "Thixotropy". A thixotropic fluid may be moderately thick and viscous, but if you exert enough force on it it thins out and becomes much less viscous, so it starts to flow VERY easily. This principle was used to make so-called "Space Pens". This is a ball-point pen made for use in zero gravity. Inside the refill barrel there is ink above the ball, then a rubber plug above it that slide sin the barrel, and above that a space filled with gas under mild pressure. (The top of the tube is sealed). So the gas pressure tries to force the rubber plug down, forcing ink out past the ball. But the ink is so viscous that it does not flow through the thin space around the ball, and the pen does not leak. However, when you actually try to write, it forces the ball to turn rapidly, and that puts tremendous force on the thin ink film around the ball. Since it is thixotropic it changes to a low viscosity fluid and flows smoothly, allowing ink to follow the ball and you can write! And when you stop, the ink regains high viscosity and stops flowing around the ball again.