Embedding video is NOT supported in Messages.
Embedded video works in only a handful of email clients, leaving the majority of recipients unable to view the video (and frustrated as a result). Even for those email clients that can play video, each one will only play videos saved in a certain format - and the format that works for one client will not work for others. Additionally, many spam filters automatically filter emails with embedded objects, because they could be used to deliver viruses or other malware.
The best way to deliver video via email is to link to it. If you want to make it look like embedded video, you can take a screenshot of your embedded player, then insert that into your email and link it to wherever your video is being stored.
Another common practice is to add a “play button” to a screenshot of your video content, then link the image to your video location.