I think Reddit works? Instagram and Twitter don't though. I liked the Twitter mirrors for that, since you could hot link their videos, but I think they all got shut down.
Reddit video player is terrible though and linking to it requires you to load their bloated New Reddit web pages. Most of us came here to get away from Reddit.
I thought if you liked the source in the post it embedded directly, rather than using reddit's player? I'd agree just a link to the Reddit post wouldn't be good.
Reddit video links do not open up a raw video file but instead a web page that loads the video/audio file in chunks. If you want a regular video file you have to download it with yt-dlp or similar. I wouldn't be surprised if some apps include an embed solution, but most Lemmy websites and apps do not include embedding and simply link directly to the external page.