That footage looks pretty normal to me, but to answer your question in general terms, shadows are always going to look more noisy compared to highlights because you are not feeding the sensor enough light, which enters the sensor randomly. Notice that the highlight and balanced exposure areas look good.
If you're interested in a more technical explanation....
The foreground is very underexposed (because you are trying to balance with the sun) which is why you might see noise there. You have a very bright sunset, which you seem to be exposing for, so anything darker than that is going to be very underexposed. You will notice that the highlights and properly exposed areas look quite good.
The reason for this is how image sensors work - they achieve best image quality when they have been saturated with light to the point that they can reach their FWC/full well capacity (where the ADC reaches maximum value, which is also at base ISO). If the bright/highlight areas are properly exposed, that typically means far less light has been collected by the photosites responsible for the dark areas, and as a result they are going to be noisier. When you raise the ISO, the ADC is told to reach maximum value much earlier, hence the dynamic range reduction at higher ISO levels, because it is working with far fewer electrons before it reports a maximum value. This is also why you see grain/noise at higher ISO levels, because the ADC is reporting maximum value with only a tiny fraction of the light collected compared to base ISO FWC, and light is collected randomly (noise also occurs randomly, which is why stacking multiple high ISO images is an effective form of noise reduction).
This is not a problem unique to DJI or the sensor used in the
M2P - no camera can expose all areas of a scene like that with such high dynamic range. There will always be more noise in the shadows, and even the 1" sensor isn't giving you enough flexibility in a scene like that. Shooting high contrast scenes like that is simply not ideal because you can only expose for the shadows or the highlights - not both. Choosing the light that you fly in has one of the biggest effects on how good your footage will look, and that goes for 'standard' photography as well. Any time you have ultra high contrast and/or strong shadows, there will be compromises, which is what HDR imaging attempts to overcome.