There are only a specific set of slides that can support Videos.

Once you click on "Add Slides", just go to the "Video - Video Clip Supporting Slides" under "Themes".

It has different slides depending on the length of videos that you would want to add.

Once you selected these slides, just go to the right panel and select the Video button just to the right of the "Animations" button. You can then select videos you would want to add to the slide.