@Kuldar, @Andrew we need a link to your site.
There might be multiple reasons for that but we’re pretty comfortable that RL has nothing to do with it. Why? Because it does not generate links. It just follows the link and applies lightbox effect.
@Andrew, your link syntax looks fine, but where is comes from? If you post video link in the backend content editor then all you need is this:
http://www.youtube.com/watch?v=XmFmYLAveWM
Both: WordPress and Responsive Lightbox should handle that automatically – generate a link and open that link using lightbox effect.