Once in the Ultra Fast Funnel tab, you will click on "Edit Page" :

Next, you will click on the "Elements" drop bar and scroll down to video. To add the video to the page, click and hold down the "Video" icon, then drag it to the desired location on the page.

After you add the video, click on it, then click Styles, then Advanced, then Settings:

You can choose the Provider: Vimeo, YouTube, custom URL.