From the docs for QX11EmbedContainer:
It is possible for QX11EmbedContainer to embed XEmbed widgets from toolkits other than Qt, such as GTK+. Arbitrary (non-XEmbed) X11 widgets can also be embedded, but the XEmbed-specific features such as window activation and focus handling are then lost.
So perhaps urxvt (or your version of it) does not support all the necessary features of the XEmbed Protocol.
A web search turned up this comment:
urxvt -embed almost works. It claims to support it and everything, but does not send XEMBED_REQUEST_FOCUS when you click in it. This means there's no way to get focus back after it's lost it.