Then just insert video URL in the Custom URL field

I did.

set the Custom Target field as _video

The only options that appear to me are these

And you need to use WP Gallery Extra version 1.2.x or newer. Please update it.

For me, lastest version is “1.1” like the plugins shows to me:

Welcome to WordPress Gallery Extra 1.1.0
Thank you for updating to the latest version! WordPress Gallery Extra 1.1.0 is the most intuitive and extensible gallery management tool ever created for native WordPress Gallery.