Generally, yes. The MKV format itself is just a container. However, as with any file from the internet, only open it if you trust the source or the Telegram channel you grabbed it from. Name of downloaded files differs from original file name
Blog Post Draft: The Case of the Missing Filename: Decoding Your Telegram Downloads AgADigAD904IVg.mkv
You can forward files to a Telegram Renamer Bot before downloading them to give them a recognizable name. Generally, yes
If your downloads folder is becoming a graveyard of alphanumeric soup, here are three ways to take control: AgADigAD904IVg.mkv