To add a media via web, we need to create a gallery first.

Step1: Click on create gallery tab as shown below and select Video gallery.

Once you have created a gallery, you will be seeing the edit gallery page.

Step2: On Edit screen, click on Add from web tab

Step3: Paste a URL(Vimeo/Youtube or anything that supports oembed) as below

and click on Add

Step4: You will see it is added as below

That’s it. Hope it helps.