This is what I did when I embedded a video from Youtube: click on the "Embed" button below the video and then check the box that says "use old embed code" then copy and paste that code into the "Video URL or Embed code" box in the video capsule.
I Don't know if that is right or wrong or if there is a better/easier way to do it - all I know is that it worked for me.
Actually, I just tested out trying to paste just the URL and that worked fine for me, so I am not sure what the problem is for you. You can give that first option I mentioned a shot.
Also, some videos I think can't be shared. Maybe it is one of them.