Should I put my video into a label or a page?
Why does my video link embed my video instead of linking to another site?
Adding a video to a Label will mean it displays as soon as the user clicks on that course page. This can be beneficial if the video is, for example, an introduction to the course or an integral part of the whole course. However, if there are several videos in labels, they can slow the loading of the course down, especially if the videos are coming from an external site.
Adding a video to a Page in Moodle means that the user has to click a text link to reach the video, but it doesn't clutter up the main course page and it is a better choice if the course contains a large number of videos.
If you want to prevent the embedded player and keep just the link to the video, add "nomediaplugin" class to the HTML anchor tag producing the link. For example: <a href="https://link.to/your/video" class="nomediaplugin">Link text</a>