What is the run mode of your AEM instance? To use this functionality for creating mix media set, the runmode of your AEM instance needs to be dynamicmedia_scene7 and related settings under cloud-config should be in place as described in the below help article. Once the settings are present, the video/asset that you uploaded would be synched with DM cloud and that's what Mixed Media set requires.
Mixed media set or image set can only be created in AEM with runmode dynamicmedia_scene7. When you are creating a mixed media set, make sure that all the selected assets should be uploaded in Scene7 as well.