To answer your 4 questions :
- Could (downloaded) Youtube videos be infected?
Technically, yes, even if it is quite unlikely. In such a case a malicious video could infect you if it targets a specific player (and possibly a specific version). In such a case, a malicious actor would have uploaded a video in the hopes that someone downloads it and then plays it with a vulnerable version of a specific player.
Please note that technical treatments occur on Google's (Youtube's) side - such treatments could easily destroy the malicious content.
- Could Youtube infect them to punish illegal downloading?
Technically, yes, but that would be illegal
- I removed the add-on - should I delete those videos too to be safe?
To be lawful (and have morals), you should delete the videos for which you do not own the rights, if the videos you downloaded are protected. However if we are talking about being technically safe from infections, as mentioned in a previous bullet the chances that the videos contain working malicious code are slim. If you want risk-zero, delete them, even if the chances are very low
- If I use AVAST, Emsisoft Anti-Malware, Malwarebytes and SuperAntispyware Free Edition, will I be safe and find anything there is?
Not necessarily. AV's cannot detect everything.
As comments pointed out, it is good to note that the add-on that you used could have triggered an infection. It is always a good idea to be very careful when downloading browser add-ons / extensions, especially if they are used for possibly illegal purposes (which means that there is a slightly higher chance that the add-on author is malicious)