Interjections like what the X and what on X are expressions of surprise or confusion, frustration or anger, resignation or nonchalance. The intensity more or less correlates to that of the key word.
As for the character in the video, I would paraphrase his thought as either:
I don't understand! Why do I need to give all this information?!
I'm being asked to do too much!
His face suggests anger, but the context and the narrator's next comment address his confusion. Notice, by the way, that the narrator softens the "WTF" in a very predictable way:
You're probably wondering what the heck I'm talking about.
There are lots of ways to soften such expressions. Actually, WTF, although not easy to use in spoken conversation or likely to be understood by older speakers, is already softer than spelling it out.
Here are some more variations — a small selection of the many available.
→ What the heck? Didn't I lock that cow in her pen?
=Surprise. Quite tame.
→ What the hell, Richard! I thought I told you to stay out of this!
→ What the devil? Why, that's my briefcase in the hands of a street urchin! Catch him!
=Confusion and panic. Older British language.
→ What in the Sam Hill is that big shape on the horizon?
=Confusion. Certain US states.
→ What the hey! I guess it doesn't matter whether we hold the party on Saturday or Sunday.
=Nonchalance. Older US usage, very tame.
→ What on God's green earth are these lawyers asking us to do?
→ What the f---! They scheduled three exams on Monday? FML.
One of my favourites, actually, is to simply omit the X altogether. The stress then falls on "what".
What the! Scaramucci is already out?