I don't need to watch this video to know that pretty much anything will go straight through dry wall. I learned that lesson when I was 13 years old and punched a wall out of anger during an argument which cracked/caved in on impact, shocking me and making my parents very angry.
That being said, the problem with videos like these are that they always ONLY use drywall whereas real walls in your house will obviously have load bearing support, studs, insulation, and possibly aluminum siding when it comes to exterior walls.
Furthermore, some houses are made of brick, which will stop practically anything that one might use for Home Defense.
Personally, I'm not particularly concerned with wall penetration in my house since there's quite a bit of space between my house and those of my neighbors, and I honestly cannot see myself ever having to shoot in a direction in which the bullet could hurt my neighbors since all the doors are facing in directions opposite other rooms/houses, plus I live in a valley surrounded by woods and hills, so the odds of any significant collateral damage is practically nonexistent.
If I did foresee any risk of wall penetration potentially resulting in property damage or injury to my neighbors, then I would sooner look into lining the interior of the walls in my house with tiles or something sooner than attempting to use less powerful ammo.
EDIT: Upon taking the time to actually watch the video, I see that Paul Harrell actually did test out bullet penetration through fiberglass insulation, and in spectacular fashion no less by shooting an entire big roll of the stuff with .25 ACP, which passed right through it. So evidently the presence of fiberglass insulation in your walls is practically negligible when it comes to it effecting the probability of bullets penetrating them.