Problem adding Google video to post

In my own install of WordPress 2.5.1 I am having trouble adding a Google video.

If I click Add video on the Add Media bar and enter the URL it goes into the post as a link.

If I use the [googlevideo= …] syntax then the tag is simply reproduced in the text.

When I do the above on a WordPress.com blog it behaves as I expect, e.g. embeds the video in the posting.

Any ideas?