Basically the same experience we have with YouTube/Vimeo videos but with local files.
AFAIK now we can only add a link to a video file and have it played in an external app.
For me the killer feature is of course timestamps, I found they very useful for YouTube videos but I also have local private videos to annotate.
This looks to be an interesting option:
Second this. I was using TubersLab to take notes. Moved everything to Logseq. The only thing missing now is adding local videos (file:///) or direct links to videos and adding timestamps to them.
Use this plug-in.