I understand that US government films are not protected by copyright laws, but does this include White House Weekly Address? Are all episodes of weekly addresses free from copyright protection, because they are considered government documents?
At 17 USC 105, works of the US government are explicitly excluded from copyright protection:
Copyright protection under this title is not available for any work of the United States Government....
The phrase "work of the United States Government" is defined at 17 USC 101 thus:
A “work of the United States Government” is a work prepared by an officer or employee of the United States Government as part of that person’s official duties.
The question then is whether the message in question falls under that definition, and since there is nothing on the page you link to that suggests otherwise, the natural presumption that it does is almost certainly correct.
This conclusion is strengthened by the fact that the link points to the press office portion of the website, which further implies that the work was prepared by an officer or employee of the US government for official purposes.