That seems to be a bug, because the mechanism is supposed to take an excerpt from the first picture it encounters in the blog post (instructions).
Since it’s a bug, please report it to our Github repo and try to find a workaround. Unfortunately I think the only options are these:
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Do not embed the videos but only link to them. Not good, obviously.
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Create a video from the header image that contains only that header image as a still image, and embed this first. Obviously, the thumbnail will then be the header image again. You can use the “Hide details” feature from the gear menu in this editor to hide the video “somewhat”:
[details="Summary"] video URL here [/details]
That should also “fix” it for Twitter. Twitter, Facebook etc. use the OEmbed protocol to determine what preview thumbnail to show, and probably Discourse provides them with the video frame due to the same bug you saw above. (Mention it in your bug report as well.)