when you copy embed code from youtube, they drop the URL scheme (that is, http / https). The reason why they do this is so that the video will work behind either scheme (instead of having to give you two options to choose from as most users won't know). Just add a scheme to the front of the URL for it to work from your desktop as well. The reason why it doesn't work from your desktop is because the scheme you are using is file://, however Tableau Public is using http. Hope that helps.