Hero banners supporting video will depend on the theme being used! In your case, I don't think your theme supports videoplayback within the hero slider. It's never impossible, but it'd have to be developed in!
Alternately, I found a handy guide from Out of the Sandbox showing you you can embed video in the hero slider for one of their themes, check that here.
That's with reference to their Retina, Mobilia, and Responsive themes.
I would of course welcome anyone with some development chops to chime in on this discussion to offer further suggestions. :)
All the best.
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