Video post format

I’m likely missing something, but I can’t figure out how to display a video in the featured image position above the headline.

I’m using the video post format and typing the url into the ‘Post format video url’ but nothing happens, when I press Update the url simply disappears.

This is what I’m trying to achieve:
http://andersnoren.se/themes/lingonberry/animation-short-bridge-ting-tey/