Thanks for the embed link, but unfortunately I embed videos from my own server, videos I created using the popular WMV format. Many do this, and I guess the WordPress developers think everyone uses the public video hosting sites. The site hosting my blog and videos of course isn't on their "whitelist".
With cheap server space many don't want or need to use YouTube, Vimeo, et al. These commercial sites degrade the video, splatter ads, etc., and the content is on their servers. Plus, one must always band width retrieve the video everytime it is viewed. With the WMV approach it can optionally be downloaded ONCE, and viewed superfast locally as well.
What's amazing is the embed video button was simply yanked out in a 3.1 WordPress release, seemingly by WP developers who are uninformed on the breadth of video hosting choices made by WP bloggers.