Yes, you are definitely looking at an audio track.
In the video, he did not insert the MIDI source track the guys have mentioned.
When you insert EZD (or any synth), you will generally want to select this option.
Or, you can insert a MIDI track, and direct its output to EZD.
In MC5, it should look like this:
The EZD clips are not loops. To get them to repeat, you can right click on the clip, and enable groove clip looping. Or you can copy/paste.
Also, all of the drums will default to track 1. Open the EZD mixer, and change the track outputs there.