We've just tested everything here and it appears to be working fine. Video embedded into notes works in both IE and in Firefox when exported as either Simple HTML or a SiteBrain. (See attached example.)
We've done this with a YouTube video below. Are you using 22.214.171.124? What kind of video are you embedding? If you can view it when you select Open in Browser, you should be able to view it from your export.
One other thing that could be causing the problem is your browser's cache loading a prior version of the export. Please make sure you clear your cache.
Let me know what your results are.