How to deal with uMatrix
If you're using uMatrix, you won't be able to automatically play a video served by Invidious on other websites without unblocking requests to Invidious instances.
So, to make it work, you'll need to allow
frame for the instance from which you're trying to play the video.
Since there are many Invidious instances, you can use the tool called Invimatrix to automatically generate uMatrix rules for every known instance.