Hello @arnebajse,
There are two ways to go about making sure the embed loads resources over HTTPs:
0. In Admin Console->Publishers->your partner->Actions->Configure-> check "Embed Code Default Protocol HTTPS"
1. In KMC->Preview and Embed->Show Advanced Options->check "Support for HTTPS embed code"
I'd recommend the first option since loading over HTTPs will work when the embed is loaded over both HTTPs and HTTP but not the other way around and also, because then you don't have to remember to check an additional checker.