I checked here, and the videos don't load slow, but played immediately. That would have been expected though, since I am on a fast connection, and Vimeo should normally provide fast loading regardless of location. I would mention however, you are loading original full size Vimeo videos into small areas on the screen, so it could be slow on not-so-fast internet connections ... You wouldn't technically need full-res videos to load into smaller areas on the screen. For me, it worked without any problems.
Faust wrote:
I was thinking maybe it's possible to achieve similar results, but self hosted.
Yes you could do that. The benefit would be that it doesn't need to load external Vimeo javascript libraries just for a small embed, and also you would be able to optimize/resize/compress each video to suit that page. The disadvantage is that you then need to spend time creating mp4 videos specifically for those embedded previews, and your own host might not even serve the videos as fast as Vimeo.
It's easy to embed a self-hosted video:
<video src="/path/to/video.mp4" autoplay playsinline loop>