Hi Everyone, I also had this problem. My way round it was as follows:
Use Willy Gomez's answer and then use the Moodle Mobile App for phones and tablets, this allows the video to play within the course when using a PC or Laptop, then, by using the Moodle App. it plays on phones and tablets.
I then found it played on my mobile when accessing the material using Safari.
I'm using Moodle 3.9.2 (Build: 20200914)