Access to Udemy will continue to be available for both staff and students.

Students can access Udemy at the student URL of https://myune.udemy.com (different from the staff login at https://une.udemy.com)

While there is no way to embed content into Moodle, it is possible to post a link out to the relevant course in Udemy to use some of the Udemy videos in your teaching.
If you want to point students to interesting Udemy content, you need to change the URL you see (une.udemy) to the student link (myune.udemy) before you share it with students (or they will see a link they can’t access).