Your first example is definitely correct. The chained inequality $5 < x < 10$ formally has the same meaning as 5 < x & x < 10, that is, "5 is less than x and x is less than 10", equivalent to "x is greater than 5 and less than 10", or in interval notation $(5, 10)$.
The second example is ambiguous, in that the piece of writing "x > 2, x < -6", is really malformed (undefined) mathematical writing; specifically, using the comma there isn't syntactically meaningful. That said, your English statement is correct that the solution to $|x + 2| > 4$ is certainly "x is greater than 2 or less than -6", which could be properly written as as "x > 2 or x < -6", or via the union of intervals $(-\infty, -6) \cup (2, \infty)$.
In short: An "or" statement really needs a proper symbol written out for it, unlike a chained inequality which is defined to imply the "and" connector.
(Edit) One of Khan's weaknesses is that he churns out so many videos he tends to be sloppy about details like this, and the video format isn't susceptible to editing afterward to fix errors like written text is.