I'm really not clear about what it is you're asking and the video link doesn't really aid in explaining either.
You can hold the Command (Mac) or the Ctrl (Win) to temporarily access the last Selection Tool used.
I suspect what you are seeing is work with the pen tool, hold down the key above and use the Direct Selection Tool to move something, then let go of the key and you're back to the Pen Tool. All without loosing the last active anchor.
You can also use the Convert Anchor Point Tool in the same fashion, you merely hold down the Control key on the Mac to access that tool (Sorry I don't know if the Windows right-click is the equivalent in this case. In most instances it is, but this seems like it might not be.)