Playing wordpress tutorial videos as (portfolio) lightbox pop up

I tried linking the videos to an image in my portfolio page but every time I click on the image, the pop up would say request unsuccessful. It's giving me this error message:

XMLHttpRequest cannot load https://premium.wpmudev.org/video/change-theme. Origin http://mywebsite.com is not allowed by Access-Control-Allow-Origin.

I have already added the website on the list but it's still denying access to it. I tried linking a youtube video and it worked.

Does it only work as an embed? Any thoughts?

Please see attached images.

Thanks,
Greggy