Embedding copyright infringing material is often argued to be 'contributory copyright infringement', and clearly goes hand in hand with the perceived business model of the site. For example, a site which is openly encouraging infringement to its visitors and linking to copyright infringing material may be seen as contributing to the act of infringement, even if they are not hosting directly.
Recently ICE and Homeland Security, arguably at the behest of the entertainment industry, has more recently tried to twist this into criminal copyright infringement, and even attempted to extradite a UK citizen who ran a linking site which in the UK has been deemed legal.
Every day you read some completely ludicrous copyright ruling in Europe regarding linking, where for example Google is currently getting hammered in German, France and Italy over linking or because of videos uploaded by their users.
So the sensible answer is that if you embed from the artists official youtube channel, you'd think you'd be okay, especially if your site is not actively encouraging infringement. But unfortunately there seems to be no sense in some of these rulings.