To start off with "how wrong" is interesting. See, when referring to anything legal, it either is or isn't. There's no point in quantifying unless you're looking to benefit somehow. On the flipside, if you find yourself in a moral struggle over embedding copyrighted videos then do the following: When in doubt don't do it.
So the question of liability should be the focus. Can there be consequences of embedding (?) video? Sure. Then again, the chances that a lawsuit, let alone finding yourself subject to a cease-and-desist is slim. Still that doesn't mean you are immune from liability, if the owner of (?) video should ever decide to take action.