But the larger question, when you see embed code on videos as well as audio, how do you insert them into the posts? Do you just cut and paste the embed code to your post, or do we have to do something more? Obviously the cut and paste did not work for me, it just rendered the code as is

Yes, it is correct. You can check the it from this URL http://www.cbc.ca/radio/popup/audio/listen.html?autoPlay=true&clipIds=&mediaIds=2694577829&contentarea=radio&subsection1=radio1&subsection2=currentaffairs&subsection3=the_current&contenttype=audio&title=2016/09/05/1.3748558-ethiopian-marathoner-feyisa-lilesa-says-going-home-means-suicide-after-olympic-political-protest&contentid=1.3748558

I think I found where to make the changes under Template | Blog and Posts and choose one of the several template pages.

But I lost the “Home” in the Main Navigation Menu which was a “custom link”. It seems that is created automatically, how do I get that back.