Using a search function in my Astro App, I quickly found something I couldn't for a long time. (search key *.mp4)
Coursera on the Go is a good free app (there is also paid version which allows user to choose download location-cache).
The location of downloaded videos in the free app on my phone is:
Computer\SGH-I717\Phone\Android\data\com.realex.free\files\cache
Once I'm in there, I see a list of folders organized by course titles. In each of them, are video files. Now I can finally do some clean up.
As for the Official app of Coursera on Android, the location is very protected (There's download section in the app to manage files anyway - I think it is not bad). To find the actual location, I have not explore this because my phone is unrooted and you need it to be rooted to show the protected folder: /data/data/org.coursera.android/files/courkitDownloadedVideos/
I believe that's what this site is referring to. Unless they are not talking about the same app, then I'm lost.
Coursera has finally released an official app for android (that unfortunately has no play speed control for now and downloads videos into a secured location that can accessed when android is rooted and the path is /data/data/org.coursera.android/files/courkitDownloadedVideos/). Not bad. I have deleted "Coursera on the Go".