I guess I've never seen a rec list that had embedded vids but I have sometimes done so (under a cut) on my own personal posts when I've run across one. However this is rare since usually my recs appear in rec posts and it's non-fanwork stuff I end up embedding.

I can't say I have anything negative to say about it though. It could be handy, and especially if the person in question doesn't seem to have a DW (or AO3) account, I don't see why not. An embed will still link people to the YouTube or Vimeo page.