WordPress Supports oEmbed Only In Post Content, if you like you can easily add oEmbed support for your Comments.
oEmbed is the easiest way of embedding media. It automatically turns links into embedded content . WordPress has supported it in posts for a while, but not in comments. oEmbed in Comments plugin uses the oEmbed support which is already there in WordPress and adds it to comments. Install and activate it; no more configuration needed. Start using it in your comments.
Video link inside your comment automatically gets embedded as shown in the above image. You should know that BuddyPress also allows this feature without using any additional plugin. Videos get automatically embedded in BuddyPress activity streams.