Have you thought about speaking to your supervisor about this? It may not be a breach of his ethical code but you are rightly mindful that you adhere to a stricter code and I would think that supervision would be a good place to raise those concerns.
I agree with others that the video is inappropriate and almost seems like he is testing the waters and gauging your reaction to his behaviour. Definitely needs keeping an eye on.
On a happier note, great to hear you are doing so well professionally!