Presenter doesn't have the ability to embed videos from external sources. You should download the source videos and then insert them with Presenter.
For what it's worth, Captivate does have the ability to call to some streaming media applications. However, I recall that you need a custom application to embed YouTube (and can only have one video per presentation) video, not sure ab out Vimeo.
This is noted Jorma. Thank you for the information.