We're gonna keep it totally 100 with you: most email applications do not play videos.
For this reason — and until email technology catches up — any Splash email that you want to feature a video in can feature a screenshot of the video (using the Video element), which will then link out to where the video is hosted (i.e. YouTube or Vimeo).
To use the above mentioned feature, just peep this quick article about adding elements to Splash emails.
You can also easily embed videos onto your Splash page.