You can link to videos, but they need to be hosted on other services, such as PeerTube. Lemmy instances are relatively lightweight and don't necessarily have the storage space for very large files such as videos.
Yes, true. But it does not need to be hosted on the instance. It can also be hosted somewhere else and embedded here. Problem with that approach is that itf the external video or gif goes offline, you lose the video.
The embedded thing, I think I remember that there was something like that in the code of the jerboa app or the Lemmy backend.