So, I don’t know what kind of videos you are including that would break the rules of these websites (especially Vimeo, I think they are pretty lenient on what you can upload there) but in general, I would usually advise against hosting your own videos.
Websites like YouTube and Vimeo, who are specialized in this kind of thing, are usually faster and have a whole lot of infrastructure in place to serve videos as quickly as possible, even as embeds on other sites. So, unless you have a super fast server or the knowledge to optimize it for videos, I would usually vote for embeds.
I hear a lot of good stuff about Vimeo Pro in this area. You might want to check it out.