In order to clarify what information is being downloaded with the direct digital download of Cataclysm, Blizzard has said that all current World of Warcraft subscribers will be downloading the cinematic as part of a pre-Cataclysm patch. I am guessing this is some extra 4.0.3 data that will be coming out in the next few weeks for all players. Here is the official post:
Cataclysm Direct Download and Game Cinematics
We'd like to take a moment to clarify how we'll be delivering World of Warcraft: Cataclysm cinematics to players who purchase the expansion digitally through Battle.net or download the installer from the web in the future.
Prior to the December 7 launch of Cataclysm, all current World of Warcraft players will receive the Cataclysm intro cinematic as part of an upcoming patch. In addition, all other in-game cinematics (including previous ones such as the Wrathgate movie) will be available for download to players who have not previously installed them. These cinematics will be automatically downloaded in the background while you play the game, after other critical game data has been received.