They are not "coded into the ethereum blockchain". The media file is still uploaded on either a centralized server, or through IPFS. The only thing that goes into the blockchain(unless you're using something like Arweave) is the digital signature.
Something that actually a lot of NFT developers and projects either do not understand or do not even bother to tell their users. This blockchain data only stores the signature and also points to the location of the file.
Something also we really need to remind people.
To everyone who does not believe this. Please Google "NFT Error 404" to see all the examples of what could happen to your NFT if the centralized server storing it deletes the file.