Worked like charm! Thank you mondo, hope they can correct it in the next update.
Forget about that last response. I installed Easy Fancybox and activated it to work with Youtube, Vimeo and Iframes and work like charm. (Adjust this in Settings -> Media)
I found a way that works, you need to replace fancybox js files.
Extract this Fancybox JS Files (or any other fancybox js files you find) into wp-content\plugins\cool-video-gallery\third_party_lib\fancybox
