Not sure about the Dremel.
In the video the guy is using a die grinder, a precision tool capable of being mounted absolutely rigidly, neither of which applies to a Dremel. A Dremel itself is not that accurate, and I have yet to see any method of mounting one rigidly. Good tool, but not for this.
The stub arbour in the video presumably has a mating surface on its back side, so what is important is that this surface and the blade mount are perfectly parallel, easily done on a lathe.
The machine in the video clearly isn't the same as the image posted by the OP. But if the mount and spindle are one part then still easy enough to set up in a lathe so that the face is at right angles to the shaft. Needs to be done with care, but more time consuming than difficult.
One of those jobs where you can spend ten minutes setting up for about 20 seconds machining time!
I can certainly see Deema's point, and can well imagine there being a bump on the face where the locking hole is.
Nothing wrong with the idea of the locking hole, if people use a proper peg spanner rather than a screwdriver, six inch nail or whatever else comes to hand