I have plenty of movies embedded in Keynote presentations. In preparation for the switch to 64-bit only, and the loss of QuickTime 7 codecs, one task that I have is to work through those old presentations and ensure that their movies will still play in macOS 10.15.
Here, the difficult problem is to know which presentations are affected. The only way to be sure is to open each presentation using the current version of Keynote, and let it check through the embedded video (and any still images which also may require conversion).
Keynote 8.3 appears to do this reliably, and when you open a presentation containing movies or other contents which need to be updated, it reports what it has automatically converted.
The only puzzle here is that this Warnings window states that conversion will be performed either to ProRes or H.264, without committing itself as to which.
Look in Keynote’s preferences, though, and it becomes clear that the default is H.264, unless you change the format to HEVC. If you have large clips in your presentation and can be confident that all Macs and devices on which the presentation will be played can decode HEVC, you may wish to opt for that. But you don’t get any individual choice when Keynote performs those conversions, on opening the presentation.
Once you have checked that the presentation has been converted and updated correctly, which does take significant time, the simplest action is to hold the Option key while opening the File menu. This lets you save the converted presentation under a different name. Then ensure that you have an archived copy of the original file, and move forward with the newly converted one.
I also try to keep separate folders containing the most important component movies and images which have gone into my presentations. If you do the same, don’t forget to convert the files within those as well.