Moodle runs in a secure (https:) environment and therefore, content within Moodle that is embedded and originating from a non-secure (http:) source cannot be displayed. This is necessary to maintain the security of the site and the data it holds.
Many of the common resources that you are likely to embed are already served over https and will therefore display as expected (eg. videos from Re:View, YouTube and Vimeo).
If the resource you are trying to embed does not have an https alternative, then you will need to link to the resource rather than embed it within Moodle.
PLEASE NOTE: this only applies to embedded content coming from external sources.