In the thumbnail preview in the sidebar and in the component full form view, in the case of External videos (e.g. with Vimeo, Youtube, Brightcove ECL connectors), why not display an HTML video tag to really preview the video to make sure it is the right one we are selecting. At the moment you must open the video in the external system to be able to watch it and know that it is the right item you wanted to use in Tridion.