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Just curious how are they exclusive to Steemit?

It's the only place the content can be seen before it goes on other platforms.

I'm saying how do you pull this off when you are posting links to YouTube videos?

On YouTube, I categorize it as unlisted, therefore it isn't public, only people who have the link can view it. The only people that can get the link is anyone who's seen the video in the Steemit post.

FOLLOW ME and I'LL FOLLOW BACK now