Hi Robin,
The short answer is, yes, this is an area where TW5 isn't complete. There are a few relevant changes planned:
1) The easy fix is to make video embedding work - the reason you're seeing strange binary data is just that the video content types aren't known to TW5 at the moment. However, fixing it won't be very useful, as only the tiniest videos are likely to work well as embedded tiddlers.
2) When working with a server, making it possible to handle images/videos etc as attachments, where the data isn't loaded up as part of the TiddlyWiki but is instead referenced from source via ordinary <video> or <img> tags.
3) The external link syntax needs adjusting to make it possible to link to relative URLs, which is indeed an omission at the moment. The trouble we've always had with TW classic is that it's hard to distinguish a tiddler title from a relative link, and that problem remains in TW5. Right now the best work around is to write a plain HTML tag (eg, <a href="./files/really_cool_video.avi">My cool video</a>)
Best wishes
Jeremy