This is still an issue. What I found is if you have security on your vimeo video the proxy script that wordpress uses to convert the video into the embed code doesn’t work cause it gets an error code from vimeo. If you upload and insert the video link before the video transcodes on Vimeo it will work or you can convert the video link manually and insert that. I would like to see the script get updated to just do it on it’s own.
https://vimeo.com/{ID NUMBER}
converts to
https://player.vimeo.com/video/{ID NUMBER}