You can use LearnWorlds' internal video storage. This means that all videos that you will upload in your private video collection will be securely stored by LearnWorlds or you can connect your own Vimeo Pro or Wistia account, and everything you upload from within your LearnWorlds site will be stored in your own account.
Go to Settings → Video → Provider.
Select Learnworlds and click on Save.
Select Vimeo and click on Connect your account. Give access to use your Vimeo account as a repository, by clicking on Allow. Don't forget to check this link for the Vimeo settings you should be using (e.g. Privacy settings).
Select Wistia and click on Connect your account. Give access to use your Wistia account as a repository, by clicking on Authorize.
For more information on how to upload your videos in your Video Libraries, check this respective article.