Does a custom image in a embedded video prevent data transfer to YouTube on page load

If I use a custom featured image in an embedded YouTube Video, does this only load the image when loading the page? Or will the embedded YouTube video will already be loaded in the background? I am wondering if I can use this feature to warn the user that some data will be transfered to YouTube once they click the image. It would only make sense if the data transfer did not happen already. 

I am asking because EU law requires user consent before transferring data to third parties which is a problem with embedded youtube videos.