Acquia Cohesion renames to Site Studio from version 6.2. Tell me more.
Yes, the component link field supports both internal and external URLs.
HTML is escaped when using Drupal tokens in Site studio as a security measure, this follows Drupal core.
The Youtube video embed is responsive so it should expand to the width of its parent. If you do need to set a width you can apply the Width CSS property through the Style Builder.