uMatrix setup
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 css
, image
, media
, script
, xhr
, 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 & uBlock Origin rules for every known instance.