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.