Just copy the embed code from YouTube or other platforms, and paste it in the markdown file.

YouTube

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<iframe 
    width="100%" height="468" 
    src="https://www.youtube.com/embed/5gIf0_xpFPI?si=N1WTorLKL0uwLsU_" 
    title="YouTube video player" 
    frameborder="0" 
    allowfullscreen>
</iframe>

Bilibili

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<iframe 
    width="100%" height="468" 
    src="//player.bilibili.com/player.html?bvid=BV1fK4y1s7Qf&p=1" 
    scrolling="no" border="0" 
    frameborder="no" framespacing="0" 
    allowfullscreen="true"> 
</iframe>