It may have something to do with the fact that Mars' atmosphere is very, very thin (I think they mentioned it's 1% density of Earth's), so there are much fewer particles hitting the ground and pushing the dust, compared to e.g. a small hobby drone taking off here on Earth.

I'm sure there was some dust thrown up in the air, but probably not enough to be seen against the background.

It's probably a video issue, this preview video only has a few frames per second i'm guessing. As we see it pop up and then it's back on the ground

Beyond the video issue, I wonder if a bunch was already blown up during the test spins before the main flight.