Yes guys. Thanks edenranell, you are right. I found the solution, too.
After you choose embed, paste in the URL. If nothing shows up, click the "</>" next to the url white space. That actually opens up a blank code box. Copy the code of the object you are embedding and apply. You will see the display say "Script disabled." But don't worry. Open a new window in another browser with your account logged out and visit your page. you will see the object showing. This is actually found in Squarespace's help section as below:
Enter the URL of the item you're embedding. You'll need a URL from a site that uses the oEmbed standard.
If the content doesn't appear, click </> in the block editor on a computer (or Code in the Squarespace app) and paste an embed code manually into the text field.
https://support.squarespace.com/hc/en-us/articles/206543617