This is something that I am currently experiencing with kolektiva.media and tube.rebellion.global where I cannot play videos from my instance because their instance is not allowing it due to CORS (I think at least one is « not set »).
Previously with videos from my own instance, I was unable to embed them because of similar issues. I see one person mentioning that this is a NGINX issue, at least from the perspective of their issue with some uploading failures. I’m not certain that there is a reasonable solution to this, but I hope that we can find something which doesn’t either break security of CORS, or break federation/embedding how PeerTube « should » work.