SharePoint 2019 video can't play in IE11

We are using the Embed web part to display a video (mp4) in a Doc Lib: plays fine in Chrome but not IE11 (you get the pop up to download)

I tested this in SPO and the behaviour is exactly the same.

We cannot use the File Viewer web part because it only takes Office files (unlike the SPO equivalent which take videos too and would resolve our issue)

We don't have Stream.

Sure I am missing something and there is another way to show a video in IE11?