That video isn't really that amazing.

The rounds fired at it are lead, a very soft metal. You could cut through a bullet with your kitchen knives, even the butter knives. Don't believe me? Get some lead "sinkers" in the fishing section of your sporting goods store/sporting goods section of your department store. It'll take some work, but that's partly because you're not moving your knife at around 1200 feet per second (it's the same as moving the bullet that fast, in the end), the normal muzzle velocity of a 9mmP round.

The sword is also only being held at one end, which means it is free to flex when struck. If it were being held by a vice at the top, too, you might see it break... but probably not, because from that angle you're firing your round at 1-2 inches of high-grade steel. The round is going to ricochet, and it does--to both sides of the blade.

You put that sword in a vise at the top and bottom, and fire on it from the side. Then it'll be a relevant demonstration... except that steel plates thinner than a katana blade will stop a 9mmP round.