@Elie K, Thanks for posting in Q&A. For "Block macros from running in Office files from the internet", it prevents users from inadvertently opening files from the internet that contain macros.
https://learn.microsoft.com/en-us/deployoffice/security/internet-macros-blocked
After researching, I didn't find any link describe the same issue with the above setting. But, to confirm if the video in PowerPoint is blocked by this setting. I suggest choose one test user and device, open the PPT with the video insert to see if it can work. If it can work, then we can deploy the same security baseline policy to this user or device with "Block macros from running in Office files from the internet" set to see if will be affected.
Please try the above test and if there's any update, feel free to let us know.
If the answer is helpful, please click "Accept Answer" and kindly upvote it. If you have extra questions about this answer, please click "Comment".
Note: Please follow the steps in our documentation to enable e-mail notifications if you want to receive the related email notification for this thread.