You can then copy the URL from the browser address bar. If you paste it into the block editor, WordPress cannot currently work out it is an embed.
You will get this dialogue with the failure notice. Grrrr.
But all is not lost if you have the Church Admin plugin….
There is a Church Admin Video embed block which makes videos full width and with correct aspect ratio for landscape. Here’s a fun go of the excellent Nigerian song Nara, shot on an old cheap phone – so apologies for the poor quality – it was done before the Covid lockdowns upped our game!