Author here. More broadly, embedding is a mapping from objects (e.g., words and entities) to vectors of real numbers. And as described in the mcxlog's comment, an entity refers to an entry in Wikipedia in this paper.

In this field, an entity typically refers to an entry in Wikipédia, such as a person, an organization, a place, etc (types which are considered may vary).

And yes that page is the embedding definition they are referring to.