Error in Excel 365 - Credentials are required to connect to the SharePoint source.

FYI - I posted this in Microsoft Answers.

I created a Team M365 site, and it has a subsite. For some reason, when an excel spreadsheet is opening with a power query running, it gives my co-workers these errors. They are a part of the 365 group, so they have full editing rights. If there is no power query, no problem.

1) Use anonymous access for this SharePoint content.

2) Credentials are required to connect to the SharePoint source. You will need to refresh and provide credentials to continue.

Any thoughts or fixes? Thanks in advance!