Hi. Currently, prettyPhoto defaults to only using "http" for its iframe video links. The issue is that if your site is secure (https), then it won't load the insecure content.
I go to the jquery.prettyPhoto.js find and replace http://www.youtube.com/embed by https://www.youtube.com/embed and http://player.vimeo.com/video/ by https://player.vimeo.com/video/ in jquery.prettyPhoto.js.
You can reload your site and check.
Note: You should backup this folder to override if you update the plugin Behealth Framework