First off, let me say IANAL and what little I know about copyright law is pretty biased toward U.S. copyright law.

Second, the title of your post asks "should" it be legal and the body asks "is" it legal. And that's two very different questions.

My personal opinion is that it should (as in "ought to" or as in "the world would be better off if it were to") be legal. But whether or not it is legal is, well, not always straightforward.

Complicating the question, some PeerTube instances require that all local videos be under certain specific licenses. For instance, Diode Zone only allows videos that are licensed under Creative Commons licenses which allow making/saving copies and sharing those copies (at least for non-commercial purposes.)

However, saving a video locally creates a "copy." And copyright covers the creation of "copies." So I'd expect in the general case saving a local copy of a video from a PeerTube instance (or from YouTube or Vimeo or some such for that matter) would itself be infringement. Copyright law doesn't have any special allowances for "personal use" as far as I know. (And if it does, it's likely that allowance doesn't apply to all sorts of works -- just to one or two kinds of works. Like for instance the right to make a digital backup is allowed explicitly in U.S. copyright law for software but not for, for instance, audio CDs.)