You can use LearnWorlds' internal video storage. This means that all videos that you will upload in your private video collection will be securely stored by LearnWorlds or you can connect your own Vimeo Pro or Wistia account, and everything you upload from within your LearnWorlds site will be stored in your own account.
Go to Settings → Video → Provider.
Select Learnworlds and click on Save.
Select Vimeo and click on Connect your account. Give access to use your Vimeo account as a repository, by clicking on Allow. For more information on how to connect Vimeo, check this article and this link as well for the Vimeo settings you should be using.
Select Wistia and click on Connect your account. Give access to use your Wistia account as a repository, by clicking on Authorize. For more information, check this article.
Note: You can find out more on how to upload videos in this respective article.