1: click on Orange + icon to add a video element, then select video
2: click on video or cog icon
3: select type ( link or embed iframe code ) youtube, vimeo, AWS s3 as an mp4 or self hosted on your own https secured website as an mp4
4: past either the link or embed code in field
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Dont forget you can use a test live event to go live into and create a recording to use in any of your funnel pages.
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Go here to get the url of that recording to add into your page.

1: go to Library section
2: make sure you are in recordings tab
3: go to 3 dots of the recording you want and click on copy link
4: Paste link / url into video settings