Featured video is exactly the same as a featured image. It allows you to easily link a YouTube or Vimeo video to a post.
Maybe the url of the video you are trying to load is a bit too long or complicated, try the embedcode (on YouTube) or try the single video url on vimeo: http://vimeo.com/31332023
If your embedcode starts with an object-tag you're using an older version of the embedcode. Try looking for the newer embedcode, it starts with the iframe tag.