Though it is possible, there are some limitation. Therefor is not recommended to server video content directly from the Mendix Platform. Please have a look into video distributions platforms to do so.
You can use the Video widget from the app store in embed the video https://appstore.home.mendix.com/link/app/110700/
Uploading a file, you can use the https://docs.mendix.com/refguide/file-manager widget.