A new feature in OneNote for Mac is embedding third party videos into a OneNote page via OS X’s Share Extension. Note that this feature is only available on apps using the Share Extension.
To embed a YouTube video using Safari, click on the Share icon, then click OneNote. If OneNote is not listed, you may need to add it by clicking More and checking OneNote.

Once you’ve clicked on OneNote, the Share Extension popup will appear to enter a title, a description, and to select the notebook where the page will be added. To choose a notebook, click on the dropdown box on the bottom left side of the popup window. From there, you will be able to select the Notebook and Tab to add the new page.

Once you’ve clicked Send, a new page will be created in OneNote with the embedded video.

Is there similar functionality in Firefox?
Hi Steve! I’m actually not sure. The OneNote update uses OS X’s native share extension. It’s possible that there may be an extension available for Firefox. I’m a Chrome user and haven’t been able to find a way to import videos either.
not having much luck with this, when i click not the down arrow next to “Cancel”, it just crashes and doesn’t let me choose the area of notebook.