Their documentation is actually really good. https://www.remoteutilities.com/support/docs/ru-server/
What are your issues with their current instructions that a video would help? It's quicker to just say, "when I get to step X, I don't know what to click" or whatever.
But I'm not sure if you understand the feature, since self-hosted server is just your own RELAY instead of RUT's public ones, and still doesn't "connect directly". For that, it's actually outside of RUT's scope so that will depend on your router and network connection, and that's WAY too broad to have a useful video. That needs some basic technical experience to configure direct connect (unless you have IPv6).