After a little of investigating it seems that Lemmy currently unintentionally blocks video files from loading from different sites.
That means that only GIFs (internally handled as mp4 I think) from the same site will load correctly right now.

A fix for this has apparently been implemented 4 days ago, so it just depends on when the fix is officially released (currently in beta for version 0.18) and when your instance updates.

Until then, you’ll just have to open the comments or posts on their original site.