Any video that you receive as a consumer nowadays is digitally compressed to save space because the raw format is just too large. If my quick google is right, a 2 hour uncompressed 4k HDR movie would be about 650GB of data.

Instead a 4k bluray disc contains about 60-100GB of data, depending on the release. And a 4k HDR movie on Netflix or similar will be 12-20GB streamed.

So while all 3 methods have the same resolution, only the raw format contains exact data for every single pixel for every single frame. Others are taking shortcuts, blending together similar colors, and not providing full resolution during very fast scenes. Your last question is exactly correct.

Very noticeable "artifacts" are a (smooth color transition like a sunset sky instead turns into stripes)[https://upload.wikimedia.org/wikipedia/commons/9/9a/Colour_banding_example01.png], or blocky areas during fast moving scenes.

Audio is compressed separately from video, but usually if the video is overcompressed to save bandwidth, the audio will be too.