Hi Justin and Mary,
Thanks for your responses! The information was exactly what I needed.
We thought about Feedback files via local upload, but decided to save students the extra step of download the file.
I tried <iframe> and <a href> but video embedded with <iframe> simply doesn't show up and video embedded with <a href> does show up but creates a few weird problems: 1) it messes up the assignment grading page in instructor's view, and 2) it has an obscure "expand" button on student's assignment view page and when clicked hides the feedback video.
The reason we are looking into video feedback feature is for an instructor who has health issue to work remotely. And I'm glad our school walks the extra mile try to make it simple for both the instructor and the students.
Thanks again for your responses.
Cheers,
Mao