Hey @Temboselous,
Only media stored within your vault (using your preferred attachment folder option) are embeddable, since Obsidian is helping the markdown files. You can still link to your external media. To do so, paste the file path of your media item into Markdown link syntax (ie. []()). I like to use DEVONthink x-item links.
If you really want embeddable videos without them living in your vault, a workaround could be to upload your videos to an online platform (eg. YouTube, Dropbox) and use an iframe in your note. Bear in mind, you need access to the internet in order to load and stream iframe media.