I am having the same problem, when I want to add the following code it gives the same error (video source is not valid) even though I have added "bigbuckbunny.org" in the allowed list in the admin dashboard:
<!DOCTYPE html>
<html>
<body>
<video width="400" controls>
<source src="mov_bbb.mp4" type="video/mp4">
<source src="mov_bbb.ogg" type="video/ogg">
Your browser does not support HTML5 video.
</video>
<p>
Video courtesy of
<a href="http://www.bigbuckbunny.org/" target="_blank">Big Buck Bunny</a>.
</p>
</body>
</html>
example:
<iframe src="https://player.vimeo.com/video/78961286" width="640" height="480" frameborder="0" webkitallowfullscreen mozallowfullscreen allowfullscreen></iframe><p><a href="https://vimeo.com/78961286">Sample Videos (52) - Copy.mp4</a> from <a href="https://vimeo.com/user22447680">G123</a> on <a href="https://vimeo.com">Vimeo</a>.</p>
But you dont need all that stuf you can just do the short version iframe if you want with just the src=url and the file name.