I agree with the response from Mendix support. But this doesn’t answer your question. There could be a situation where you only want to use one video for a small audience.
How to make this work in Mendix is as you described. Where it goes wrong (“the video failed to load :(“ message) is that you probably are retrieving the data through a data source Micro Flow. When you change this to context it will work.
I got this reply from the Mendix support team:
The Video Player widget play videos from Youtube, Vimeo, Dailymotion and external Mp4 files, but not local files. Although in the limitations it states that files hosted in Mendix Server cannot be played in Safari browser, it is not recommend in general. Content distribution, especially video, is not scalable when going trough a Mendix application, as it can play for few users/videos but for something like 1000 videos/users, not.
I hope this clarifies your doubts.
Senior Technical Support Engineer