At 17/11/2022, I'm using 7.0 version. Perhaps this has been remedied in 7.1 later version. Can someone, please, confirm if this is corrected there? In the meantime, I'll seek to get my Company's version updated anyway.
If video is on Vimeo, open the video and select the Chain icon "Share Link" and ensure set to "Public" ("anyone on the internet can view"). Follow instructions to copy URL link to clipboard. Return to Squarespace Video Gallery or Page and embed the URL in the appropriate prompt. Save and Close.