Yes, this is a known limitation with the Amazon Prime Video app. It often restricts playback of downloaded content from external SD cards on some devices due to DRM (Digital Rights Management) issues. Netflix handles this differently, which is why it works fine.

Try setting the SD card as the default download location from within the Prime Video app settings, and make sure the card is formatted as internal storage (adoptable storage), if your device supports that. Otherwise, you'll likely have to stick with internal storage for Prime downloads.