Sometimes when you're setting up a campaign, your video may not play within the ad preview. This is due to Facebook's restrictions, where they don't allow a video to run when previewing an ad.
However, this will not impact your videos when your ads are actually running - if you select a video for your ad, it will always run as a video.
To see a preview of your ad after your campaign is submitted, click the Instagram icon in "Creative Performance", under campaign details.