I actually wonder if you have a different issue than the one you think :). I suspect that you *do* have the knowledge and background to complete your task, but perhaps as a side effect of imposter syndrome, are avoiding the steps you need to take to learn the material you need for your research problem.

It is completely normal to need to review information that you don't have at your fingertips. Even if you have taken and done well on courses in electromagnetism, doing a PhD in a subfield of electromagnetism means that you are now going to hyperfocus on a specific area, and you are very unlikely to remember all the details you learned about that area in your course. And, there are some advantages to reviewing undergraduate lectures: (a) they tend to be at a higher level, which is useful at the beginning of a project when you are getting your feet wet with the subject, and (b) more undergraduate lectures tend to be available online than graduate ones.

Having said that, what stands out to me in your question is this:
> But then, I get more questions in my head as I explore more and more information, and then more time passes before finishing what my supervisor told me to study.

It sounds like you might have an issue with focusing on the parts of the material that are relevant for your research problem. This can be a big issue, especially if you end up spending a lot of time re-watching lecture videos and don't make progress on your topic. A lot of a PhD is self-driven, and requires focus in a narrow area. So it is important to develop the skill and discipline to be able to identify what you need to know, and learn those things, without going too far down rabbit holes that take you away from your goal. Of course, there's some balance, because defining what you think you need too narrowly can lead to your pre-conceived notions of how you think something works blinding you to important concepts you need to learn, so there is always some "exploration" part of learning and you cannot be 100% efficient. But, it seems to me you know that you are spending too much time thinking about questions about the lectures that are not relevant to your research.

Additionally, while undergraduate lectures have the advantages stated above, at some point you will likely find that they do not cover the material in sufficient depth for what you need to do. Therefore, it is also important to look at other sources. Probably, you will find that you will need to read advanced books and research papers to learn the techniques you need. This can absolutely feel scary and intimidating if you have never used these kinds of resources before. And if you are experiencing feelings of imposter syndrome, then it's normal to feel like "you aren't smart enough" to tackle these more advanced resources. However, you don't need to believe or act on these feelings. You want to make sure that you are not using the undergraduate lectures as a crutch because they feel comfortable, but instead are making rational decisions about using the source(s) that contain the information you need at the right level to do your work. (I'm not saying this is what is happening in your case, but as a common example of the kind of thing I am saying: some good students, when they transition from undergrad to PhD, find that they miss coursework where they did well and find research difficult, and try to recreate the experience of taking courses. These students have to learn to leave behind the success metrics of coursework, and learn how to make measurable progress on research.) Your advisor can help you determine what the relevant sources are. 

Given that you were admitted to a PhD program, I absolutely believe you have the background needed to make the jump to using the research literature successfully. It may feel like you are stepping outside your comfort zone at first, but the rewards for "learning how to learn" are enormous and will pay dividends throughout your career.