This article covers where report authors should store their video files (as well as thumbnails) for use with CloudScope Video.
The short answer is you should store your video files on a cloud server like Azure Blob Storage, Amazon S3, or similar services. If you have a worldwide audience, you also might consider using a Content Delivery Network (CDN) [Azure, Amazon] in order to geographically disperse your video source files so that they'll always be close to your user audience.
While this article won't go into each service in detail, each service provides a fast, inexpensive location to host video files, and each provides its own security options that allow you to restrict how your videos can be accessed.
What about YouTube, Vimeo?
A common question is whether you can host your files on commercial services like YouTube or Vimeo. Unfortunately, no you cannot.
Vimeo was supported at one point, but over time Microsoft has increasingly restricted how Power BI visual controls execute resources loaded from external sources. Vimeo is no longer supported by Video.
YouTube was never possible, because YouTube doesn't distribute their JavaScript code as an 'NPM package", as most services do, and would allow a control developer to embed the JavaScript within the control. Instead, as a developer you basically open an HTML frame into the YouTube environment and YouTube downloads all of the JavaScript and HTML required to run their video player onto your computer. This is not really secure, since who knows what could be in that JavaScript, and Microsoft has never allowed it within the Power BI environment.