Nope, I was able to embed a widget just fine on my own WP site. Might be a problem with your theme -- many have all kinds of Javascript doing weird things. Is your blog self-hosted?
Viewing post in Widget Embed not working with Wordpress?
It is simply hosted through Wordpress (going to upgrade to Premium at some point, but it's not self-hosted regardless).
I'll give switching themes a try.
Edit: I'm using the simple Twenty-Sixteen theme. Tried 3 others, and it will not embed.
Does the free-Wordpress not allow Itch.io? Like I said before, it's fine with Youtube embedding... so this would seem arbitrary and weird.