When I paste in a Vimeo url into the 'From the Web' tab of the WYSIWYG editor it is not pulling in the video. It is working fine for YouTube though. Has anyone else had this issue?
I'm not sure about the "From the web" tab you have mentioned, however I do think you should look at the codemirror module.
This plugin integrates CodeMirror into the HTML source editor of TinyMCE. This works around several problems with advcode such as the IFrame security pop-up in IE or the missing clean-up of text copied to clipboard by Word in certain browsers.
It will allow you to use Youtube and Vimeo embedded iframes in the HTML editor.