WordPress supports the following video file types:
.mp4, .m4v (MPEG-4),
.mov (QuickTime),
.wmv (Windows Media Video),
.avi,
.mpg,
.ogv (Ogg),
.3gp (3GPP),
and .3g2 (3GPP2)
From the “Uploading Files” Codex.
If it’s not in the list, you’ll have to either add support or find a way to insert it manually which is what it sounds like you’ve done.
Also, the default WordPress editor doesn’t allow iframed content. It gets stripped out when you publish.
If you’re getting an error about cross-origin content, I recommend reading up on CORS. There are a bunch of details that could cause an error like this which aren’t covered in the scope of this community.