If you are simply inserting a URL/link of a VIDIZMO video in your SharePoint that users can click and it opens up in your VIDIZMO portal, you do not need VIDIZMO for SharePoint App for SSO to work.
However, if you are looking to embed the video in your SharePoint so that it plays inside the SharePoint interface, you will need to install VIDIZMO for SharePoint App for SSO to work implicitly. In case you do not have VIDIZMO for SharePoint App installed on your SharePoint server, VIDIZMO Player would present simple form-based authentication with user login and password. Note that this form only supports VIDIZMO login and does not support SSO.
There are many advantages of using VIDIZMO SharePoint Video App vs. Embedding Videos in SharePoint. You can refer to this link to read these advantages.