Yes, we do have a feature to embed a video. Depending on what you're looking to accomplish, the best way to do this is to first upload an Image or GIF, and then hyperlink the Image/GIF to a landing page.
To upload an Image/GIF into your Email Templates, please check out the instructions here.
There is an insert/edit link icon in the message template editor that will allow you to embed a video or image as long as it has a corresponding url, which your video creator should provide.
After uploading your image to the template, select and highlight the image, and then select the link button as shown below.
When you select the button, the following popup will show up. Fill in the details: target url of the video or image, text to display, title, set target window (I. e. Open in current window, new window, etc), and you should be good to go!