Hey joaosacramento,
Correct. My local 4.2.2 development environment with no plugins installed allowed me to embed a YouTube video using the Visual and Text Editors without any problems.
Have you tried it without any plugins installed?
As schutte says, WP 4.2.2 embeds video urls.
From the editor, click Add Media > Insert from URL (bottom of left sidebar) > paste the video URL (e.g. from a YouTube URL, the one displayed in the browser address bar)> Insert into post. There it is 🙂
For using a video as a featured image, have a look at this plugin; no limit on the amount used:
https://wordpress.org/plugins/featured-video-plus/
Note the authors notice that it may not work with all themes depending upon how the theme treats and handles featured images; some do this their ‘own way’ which may or may not work. I successfully tested it on TwentyFifteen and Dynamik Website Builder + Genesis.