There are few things you can ensure so your users have a smooth experience with Vimeo videos in your courses. Let's look at these:
Hide from Vimeo
An important setting to remember is to mark your keep your videos "Hidden" on Vimeo, as Vimeo doesn't allow embedding private videos on your app or website
Open the privacy settings of your video and select 'Hide from Vimeo' as the status
Where can this be embedded?
Under Where can this be embedded section please select "Specific domains" and add your domain, for example, mysite.com