The MemberMouse plugin protects WordPress pages and posts. MemberMouse is doing its part by protecting the page or post, meaning that non-members will not be able to view the protected page. If the embedded video content is only available on the page, only members with appropriate access will be able to view it.
However, there are themes and plugins that can still allow access to view the video through searching or other means, so in order to fully protect video content you will usually need to use further tools to control access to files linked on your protected pages. In the case of embedded videos, we have seen MemberMouse sites use hosting services such as Wistia, Vimeo or YouTube, and utilize settings provided by those services to prevent people from accessing the videos directly.