Video hotlinking would require auto-retrieving the video thumbnail at the very least, may be even auto-load an embedded player. Since this involves automated additional calls to an external host, it requires additional code in the forum software to identify and support such links.
On the risks side, the automated calls can be exploited for malpractice (stealing cookies, delivering unsafe content w/o user consent, artificially inflating viewership through autoplay). For theses reasons, forum sites are usually cautious even for hotlinking images, let alone videos, often going to extent of allowing only approved hosts.
And I am not even talking about stealing user information (analytics, PII from their browser) without consent and falling afoul of privacy laws, especially if the forum host and video host are in different jurisdictions.
That said, vimeo and dailymotion are some the video sites whose embedded players are widely supported.