Good question ... We are planning on adding better functionality so you can add videos simply by adding a list of links. For now though, you would need to simply embed the videos manually, but it is quite easy. See the demo page here:
https://demo.photo.gallery/examples/features/sample/
You can navigate to that folder within your own examples folder, and use the same code for embedding one or more videos into a page.
In the future, you will be able to add a list of links. In fact, this option is already available for the Carousel module, but unfortunately I don't have a demo. Basically you set your gallery as carousel, and add a list of video links with an embed setting. For example, you can try the below:
gallery: wide carousel:3,1
embed:http://vimeo.com/40123818,http://vimeo.com/64542506,http://vimeo.com/27260633,http://vimeo.com/61561546,http://vimeo.com/27246366,http://vimeo.com/27243869,http://vimeo.com/29017795,http://vimeo.com/52119183,http://vimeo.com/24492485,http://vimeo.com/68215272,http://vimeo.com/25118844,http://vimeo.com/48425421,http://vimeo.com/24069938,http://vimeo.com/37157187,http://vimeo.com/4636202,http://vimeo.com/20759580,http://vimeo.com/22469541,http://vimeo.com/40110798,http://vimeo.com/14428901,http://vimeo.com/53914149,http://vimeo.com/10857606,http://vimeo.com/77111226,http://vimeo.com/34134308,http://vimeo.com/53043267,http://vimeo.com/58626695,http://vimeo.com/49753231