To minimize the strain on the CMS server, videos aren't saved to the Assets folder. However, videos can be embedded using code from a streaming video site such as Youtube, Vimeo, etc...
Embedding from Youtube:
- Click the "Share" button located to the bottom-right of the video you want to embed
- Click the "Embed" option
- Copy the entire iframe code provided
- Return to the page you want to add this video to in the CMS and click the "HTML" button in the toolbar and paste the iframe code where you want the video to appear among the existing HTML code on the page.