Welcome to Shopify Community.
Aibek is here from Speedimize.io
You should insert the video at your choice. If you do not delay the video download, no matter how you insert it, it will affect the download speed. The number of requests will increase and the page will weigh more than usual.
From experience, we can say that it is better to use youtube. But at the same time, you need to postpone the video download or make it so that the video is loaded only when clicked. Otherwise, performance will suffer.
If you have questions, do not hesitate to send me a message.