How to add new embed handler not supported by oembed?

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Pretty sure it’s the fact you’re trying to use the regex pattern in your sprintf call, when you should be using… well, a sprintf format:

$embed = sprintf(
    '<iframe class="openload-video" src="https://openload.co/embed/%s" scrolling="no" frameborder="0" width="700" height="430" allowfullscreen="true" webkitallowfullscreen="true" mozallowfullscreen="true">></iframe>',
    esc_attr(
        $matches[1]
    ) 
);

Note that you’re not using www in your embed url:

https://openload.co/f/onU1gT5mkJ8/A_date_with_Lazar_Angelov.mp4

as expected in your pattern:

#https://www\.openload\.co/f/([a-zA-Z0-9_-]+)/([a-zA-Z0-9_-]+)?#i