I have seen this response
http://www.seomoz.org/qa/view/36353/video-sitemaps-for-youtube-embedded-videos
That basically answers this question by saying that Google will give value to the site embedding the video.
However I have seen much talk about this whether this really ads any value to the actual site. So By searching videos on Google my site will NOT come up in the results for any embedded video. What would the actual value be?