Embedded White Label Videos Too Slow To Load

I embedded the Featured Image video on a Wordpress blog post and when I checked the page everything seemed to be working. The video player showed up fine. But the video was so excruciatingly slow to load I just gave up. With users who have a slower internet connection than I have that's going to be a problem.

Why are they so slow to load? How can I speed it up? I noticed when I recently went to get the videos there was no longer an option to download the video itself. Did I just miss the link this time, or has that feature been removed?