How to add a link to review a video on quiz questions that are incorrect?

You may find some inspiration in this blog post, where I show the workflow to create a custom Review slide. It should be easy to add the links to that slide for the wrongly answered questions, you can use a hyperlink to do so, no need for buttons. Let me know if you need more help:

http://blog.lilybiri.com/custom-review

There is no option to add a hyperlink to the feedback captions on a question slide. (You will notice that option is missing on the Properties tab when your feedback caption is selected.)  But there are other ways to offer the learner access to extra information.  

You could add a hidden shape button to the question slide and time its pause point to be just AFTER the pause point of the slide itself.  Then set the On Last Attempt action of the question to SHOW the hidden button.  What you need to remember is that the On Last Attempt and On Success events only fire AFTER the user Submits the question and then clicks again to dismiss the feedback captions.  That's why you need to set the button's pause point a little later than the pause point of the question slide.  Once you have a button appearing on the slide if the user gets the question wrong, you can set the action of that button to Open URL or File and point it at the location of the video file.  Remember also to set the link to open that file in a new window, not the current window in which the course content is playing.

Another option is to add a blank slide AFTER each question slide and add the links to that slide instead.   You set the On Last Attempt action to Continue or Go to Next Slide so that the learner sees that slide if they fail the question.  But you can set the On Success action to jump over that slide to the next quiz question. To my way of thinking this is the simplest option and gives you the greatest amount of control.  But it's up to you which of these options you personally feel most appropriate to your needs.