Well in wplms we recommends to add custom embedded iframe and videos using iframe shortcode or for vimeo and youtube videos with iframevideo shortcodes .
for iframes :
[iframe]http://example.com/media/index.html[/iframe]
for videos :
[iframevideo]<iframe width=”560″ height=”315″ src=”https://www.youtube.com/embed/VI2g–5LFzw” frameborder=”0″ allowfullscreen></iframe>[/iframevideo]
If your videos are uploaded to the wordpress media library then add them using wp add media button .