Depends what you define as embed.
Do they offer an embed code.
Does that embed code 'work'.
Does that embed 'play' like the native viewing of media at source site.
No. (copy the embed code they provide into a test.html doc and open it in your browser, that is what they provide you)
Can you get around that.
Should you work around the way a site restricts your usage of embedables they provide.
Long story short it isn't a matter of what XF can do but rather a limitation of what DA allows you to do with their content. In essence literally anything can be embedded via a custom bbcode or media site but not every content provider provides a reasonable means to do such things and working around it on your own dime is usually not worth the time and effort.