Depending on your settings, SharePoint may block embeds from external sites.
If you can't embed Screen9 video in your SharePoint and get an error message similar to the example below, you need to add Screen9 domains to the list of allowed external sites to embed on your SharePoint, this requires administrator privileges on your SharePoint.
Add 'screen9.com' to the list of allowed domains to accept Screen9 content. This is typically done under HTML Field Security on your SharePoint.
Example of error message from SharePoint online (Modern):
"Embedding content from this website isn't allowed, but your admin can change this setting. They will need to add 'csp.screen9.com' to the list of sites that are allowed."