What error do you receive? Maybe it;s in the file size? Videos can be very large and by default the file manager widget is limited to 5 MB. You can change this yourself.
Or did you add some “Allowed extensions” which does not include the video extensions?
In theory you can, but we don't recommend because Mendix doesn't support resumeable streams. So in this case this will not work for Safari (Web and Mobile). We recommend use AWS/S3 in this case.