You can link to videos if you want. I don't think that lemmy or kbin instances will likely provide free hosting for them, though.
There is a Fediverse service that provides video hosting, PeerTube.
https://en.wikipedia.org/wiki/PeerTube
I'm skeptical that it will scale -- it costs to host video -- but it's there. You can host something on any PeerTube host willing to serve your content and link to it from the Threadiverse, same as you could on YouTube.
EDIT: For a list of nearby instances: