I believe theymos has commented somewhere on this before as to why it's not done. Maybe it has something to do with google's tracking and whatnot, but why is this essential? For better/nicer formatting? If so, just create a screenshot of the video and use the image to link to the youtube video once clicked.
If it is for privacy, I understand. But the truth is that it's a shame not to be able to embed the videos in the forum. You can do what you say but it's not the same.