To play video via embed codes give this widget from the appstore a spin: https://appstore.home.mendix.com/link/app/2059/Mendix/Popup-Video-Player
To allow for both embedded URLs and files from the Mendix app directly have a look at:
https://appstore.home.mendix.com/link/app/932/Flock-of-Birds/Audio-Video-Playback-
For more information on how to work with files in your Mendix app please review the following documentation:
https://docs.mendix.com/howto/data-models/working-with-images-and-files#4-file-documents