I think this movie tries to way over-simplify the particle/wave duality of electrons. The reason that "observing" collapses the wave function and "causes" the electron to act like a particle is that, in order to observe an electron, you need a method to do so. For example, a common way to observe things is to look at them. In doing this, we are really just observing the light reflected. So, scientists use photons, another quantum "wavicle". The photon interferes with the electron before the electrons even hit the wall, changing the results of the experiment.
It is difficult to really know what to think about these philosphical implications of quantum mechanics. The people who make these videos and write the books for lay people are getting third and fourth-hand info from scientists. I took one semester of graduate level quantum mechanics, and let me assure you, I was no where near any kind of understanding of inter-relating quantum theory to the real world. Of course, that was 10 years ago, but I believe there are very few people in the world who can understand the stuff beyond math formulas in a textbook - and homework assignments. Even Einstein resisted did not believe quantum theory to be correct. In addition, quantum theory has been shown to be incomplete - string theory is supposed to pick up and fill in the holes. Who knows if anyone will get it right.
Still, I do agree it is an interesting subject to ponder. Just like anything else, it's best to use a variety of sources and never accept anything as absolute fact - make your own opinions.
If you really want to get a math and Science based view so that you can understand for yourself, you nay want to read the works of Richard Feynman. He was one of the pioneers in the field, was an amazingly interesting and truely inspirational man - my favorite scientist. He has written a bunch of books, some of them very simple and others way beyond me.