You can “embed” a YouTube (and likely other) video by linking to it. Put the link on its own line to get the preview image and player, e.g.
If you include the link inline then you don’t get the preview/player, has to be on a new line. This link isn’t so doesn’t work, you just get the title: Wahoo SYSTM Training App - YouTube
You can’t upload your own video files like you would a picture.