The Skip review media groups setting applies to any post containing embedded media, regardless of whether the media is uploaded directly to Discourse or linked externally via a URL.
There currently isn’t another setting to differentiate between uploads and external links with that setting when deciding whether to skip review for specific user groups, or a workaround to only trigger review upon directly uploaded media.
With that in mind, if this is a feature you’re interested in, I would encourage you to create a Feature topic in our Meta community. The more people who show interest in a feature, the more likely it is to make it into Discourse. This sounds like a neat idea and we’d love to know more about what you are looking for. 