@xavier Sorry I got back to you so late. For more clarification on how it works, look at the video tutorials in your dashboard. There is one in the Visual Editor section called oEmbed. It describes how it all works. Occasionally there are width problems with that method.
To use the embed code that a video site gives you, you have to input the code into the editor, but in the HTML side of it (since it is html code that you get with those embed codes). If you put it in the visual side, it’ll break. The easiest method, is almost always to use the oEmbed method.