The video block supports YouTube, Loom and Vimeo links. If you are using any other video hosting provider, chances are they will allow you to generate an embeddable code that can be used in the HTML block.
Go to your video hosting provider and generate an Embed code, copy it to your clipboard, then follow these steps:
Take a moment to learn about blocks, then click on the Plus icon.
Select the HTML block and paste your Embed code.