Given the nature of the protocol, it's probably not that surprising that some notes with embedded links look just fine in some clients but fail to display as intended in others, but it does take some getting used to - especially since you can't delete or edit.
Discussion
And whilst it's tempting to insist it's the software that's stupid, it's probably best to just take the L and accept that it's highly likely no one was ever going to watch that cool Moby Grape clip you posted anyway.