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.