I tested creating a Loom video directly from within Confluence.
I then embedded the video on the Confluence page I created the video
The video also appeared in my personal Loom Library.
I could also share this video with my company Loom Library.
I then deleted the video in loom and the embedded video continued to exist in Confluence.
All the evidence points to the video essentially being stored along with the Confluence (taxonomied) Pages... which is quite useful from a company point-of-view.
Can you confirm that embedded videos are stored locally and will continue to do so (i.e. this is not some unplanned blip)?