Hi There,
If you are trying to get direct SEO value from Youtube video by virtue of embedding it on the website then Phil's moz post already explains why it will get value on youtube listing itself and not on your website.
However, the purpose of the video to be available on the website is more important. Whether the video compliments and supplements the website content, that would determine whether you are able to derive the real SEO value from the embedded link. To put it simply, if people would be interested to watch the video on your website that would increase the time spent on the page and benefit your website's purpose and also its SEO.
I hope that helps.
Thanks,
VJ