As far as I know, It’s not a color workflow issue on your side (thank you for sharing all your screenshots).
Video color spaces are really different, so it’s not a particular surprise if you have color shifted in the translation.
MP4/h264 is − as far as I know − Y’CbCr color space based under the hood. Check this picture to see the difference with an RGB. For a summary: it’s a grayscale image recolored with two channels.
So a rather heavy conversion. Krita probably relies on FFmpeg settings when compiling the frames under the hood. And this conversion affect the color palette, especially on tones near pure RGB Red, Blue, Green.
Your video player also can decode this and retranslate the video to the RGB of your display (with a CPU conversion or using your video card). Many things can also happen in the way it’s decoded. It’s probably a good idea to check also if the rendering is consistent across other video players (or most web browser who can read h264 fine nowadays).
If color accuracy is mandatory for your project, maybe the best will be to output the image as PNG and use an external video editor to recompile the frames into a movie. Video editors often have a full set of options at the export, and you’ll be able to test more output and how it affects colors.