It's not really that. It's that your text isn't technically a full URL because it doesn't have the http part. The embed system only automatically works if the text and the URL are the same.
So it you link http://www.youtube.com/watch?v=JugYYRd737I, it should work without issue:
But linking www.youtube.com/watch?v=JugYYRd737I won't embed: