How can I remove "Where from" information from downloaded .mkv file?

The link listed in "Where from" is stored as an extended attribute named "com.apple.metadata:kMDItemWhereFroms" on the file in the file system - it is not actually saved within the .mkv file itself.

You can remove it by opening Terminal.app and running the following command:

xattr -d com.apple.metadata:kMDItemWhereFroms filename.mkv

where filename.mkv is to be replaced with the actual path and name of the file. The easiest way to do that is simply to write the first part of the command, and then drag the .mkv file into the Terminal.app window.