Entertaining video. But have you ever noticed how the non-metallic coating on a quality U-lock is way thicker than it needs to be just to prevent it from scratching your bike? That's right - it's insulation! So now let's return to the real world and see the same test with a quality, insulated U-lock that's hanging off a bike rather than laying flat, backed by a steel table - oh, and perhaps with no video breaks so we can see how much compressed air and how much time it actually takes. Video breaks are those questionable times when someone could play tricks, but a skilled video person could do that anyways without evidence of breaks, like in movies.
Air doesn't contain nitrogen?
Compressed air contains either difluroethane, trifluoroethane or tetraflouroethane compressed into a liquid state, not liquid nitrogen.
I never tried to break a lock by freezing it, but one site I saw the guy took a hammer and broke off the rubber outside and then froze the lock. How many cans did either video use? I have no clue but the one I showed here appears, (note that word) that he only used one large can, most cans are about half that size so it may take 2 of the normal size cans. In addition, I'm not saying that the method works all the time, but it probably works some of the time, enough times that it is known that it does work at least on some locks. Probably like you said an expensive insulated lock it may not work at all, but for a company to use insulation on their locks tells you there has been at least one occurrence where the method worked. But cheaper U-locks have no such insulation except for a thin layer of plastic that can be easily removed first.