Basically great idea.
Joomla 3.5.1, yootheme and joomlapltes templates with debug-modul position
Call mp4 from own webserver: works in all browsers
Call from vimeo: only preview, no play. the playbutton does not work in FF, Chrome Egde and IEX
Call from youtube: some browsers do, sometimes some not - can't find the pattern.
vimeo would be the preferred location: I guess the performance will be better, then on my web server.