I don't know if the video embedding issue is an issue separate from mine. For my part (hyperlinks not clickable) I can say that I've raised a ticket with Microsoft and got the confirmation from the OneNote product team that this was indeed a bug.
The bug was very probably actually caused by the transition in OneNote from the classic hyperlink experience to a new experience where hyperlinks always first show a preview bubble pop-up when clicked on - and clicking the hyperlink in the preview bubble then opens the hyperlink. Has been some time like that already in Excel - now for OneNote too.
The bug was only that during the transition (several weeks for our tenant) neither the old nor the new hyperlink experience worked.
