The best way to share a YouTube, Vimeo, or Canvas Studio video is through the built-in Share external video option.
However, if you want to use the Screen sharing to share a video, the you can use Chrome to share the video and it's audio.
The options for sharing audio depends on the operating system running Chrome.
For Chrome on Windows, you can select Share audio  when either sharing Entire Screen or Chrome Tab.
After you select Share audio, select the thumbnail of the screen, then click Share. Users will see your entire screen and hear the system audio.
For using Chrome on Mac OS X or Chromebook, you can share system audio only when screen sharing a Chrome Tab.