Embedded editor supports most of the fille types as it is Microsoft Windows Media Player.
Learning path can display different muitimedia types.
Some of types have own behavior(audio/video should play in player, picture should be displayed inside page, etc.). If there is no specified behavior for multimedia type, it shows in default way - link to download file.
Types with specified behavior added since SPLMS v 2.1:
.wmv, .wma, .mpeg, .mpg, .asf, .swf, .mp3, .wav, .avi
Added since SPLMS v 3.1:
.flv, .mp4 (mp4 might require registered MIME type in IIS).
Also Permissive file handling should be enabled to play but not download videos. This setting can be found in Central Administration>Manage web applications>Manager web application General Settings>Browser file handling.
In SharePoint 2013 (SPLMS 4.0 and higher) you can upload only .wma, .wmv or .mp3 files to Assets library in order to insert them in quizzes/assignments etc.
You won't be able to upload other media file formats, getting the following warning message: "Assets in this format cannot be played by the Media Player Web Part".