I am stuck with the same issue.

Things worked well when I created my connected table in Excel. I could erase darta from the table, and clicking "update All" would refresh the figures. When I sent the file to a co-worked who has the same Power BI access rights, he got the same error message.

When I reopened my file 3 days later, I eventually got the same error message.

The only walkaround I found so far, is to save the file on Sharepoint ou Onedrive, and open it with the web browser. In such a case, the connection works.

Still, I am looking for a way to make it functional on my desktop. I don't know what kind of Excel settings I should try and uncheck...