For uploading to catbox.moe, you'll need to go to (Settings -> General -> Upload Destination) from there you can choose Lemmy, Catbox, or Ask each Time. This defaults to Lemmy.
As for extracting the media url when posting a link, I'll need to look into this a bit more. It's a great idea, however some media links include an authentication token that expires after a predefined amount of time. This would in turn result in broken links after the time is up. I'll see if I can't work out a way to parse these links and see which ones are safe to directly embed. It's definitely annoying to post links that are not easily viewable from other clients, I'll see what I can work out on this front.