Auto embed photos with URL does not work

I’m trying to figure out how to use the auto embed feature with a Facebook photo/video. Instructions say you’re supposed to be able to insert a URL into the edit box and that WP will automatically understand it’s a photo or video & embed it. But that’s not happening. Even when I use the Facebook shortcode.

What am I doing wrong? I’ve also tried installing the WP Embed Facebook plugin with the same lack of luck.