The hotel clearly made a mistake. Had this happening to me, too (with opposite sexes) BUT no filming.

The (assumed) filming is what makes it worse, I suppose. And where the hotel doesn't really hold much power over.

I was also pretty much irritated when this happened to me (Guest entering the room, just as I'm leaving the bathroom after shower) but I took some immediate action as in visiting the counter. Where the other guest also (still) was. So it was resolved there and then. In your situation, that would probably also have given you the chance to confront that person about the (possible) video he took, and that you want to check his phone about it. A reasonable person would have understood it, and let you - with them watching of course - check his recent video/pictures.

By waiting, you literally gave this guy the chance to upload/spread the - possible - footage of yourself without any hurry, able to clean up the phone completely, etc.

BUT - and here is the BIG but - this guy stumbled upon you. FAT chance he was just as shocked as you were. And that - should - he have made a video - just deleted it. He wasn't trying to film someone changing behind a window without a curtain, he walked into the room assuming nothing.

The hotel (still) should know who actually walked into your room, and considering a privacy breach did happen, at least do you a favour and contact the person in your name, explaining that you're worried about it. Good chance he'll get back to you, explain that he didn't film (or if he did, deleted it already once it became clear it was a problem of the hotel messing up) - and give you some piece of mind.

In any case, delaying to "clean up" what happened from your side certainly didn't helped, as you must have noticed yourself already.

Changing the room several times AFTER what happened was probably even more counterproductive, since it created much more of a mess, giving the hotel probably a hard time to keep track of it, too.

tl;dr: Get in touch with the hotel, get them to drop a message to the person "sharing" the room with you about the situation/possible filming.