WordPress specifies a set of file types which are allowed for upload, this plugin respects that list of file types, You may want to try installing Mime Types Extended or Manage Upload Types to define the allowed files.
In addition, if the file is a video, WordPress will try to process the file, which will cause the plugin to fail to import the file as well.
This plugin may not be for you, and you should instead simply upload it to a private folder, and add a url to your post instead.