Via Stage it is possible to embed a link to youtube and vimeo in the appearance pane
Do I have a chance to link to other platforms beside youtube and vimeo? If yes, how will the process look like?
Yes, you can add YouTube or Vimeo or HTML5 video. See the Stage documentation
For other video you'd need to use phplugins
If you want a link to a video to appear on that age, just add a text link in the block via HTML or Markdown.
If you need to insert a text link into the Grid, you'll have to do that via phplugins.