You can do this but you will be limited to one video per slide. Slide video plays in sync with your Captivate course so the possibility of multiple asynchronous videos isn't possible. Alternatively, you can create five or six web objects that show the location of those videos within the web object frame but it won't be as elegant a solution.
But why not use JS and event video?
You can't show a Vimeo video using Event Video.