SharePoint credential permissions Issue

Hi there, please bare with me, this situation is kind of weird. 

The Situation:

We are using SharePoint for a team of about 50 people. We use a single Document Library for the whole team. In our Accounting department, we have an Excel file that has a data connection to a folder on SharePoint. Excel's Power Query transforms the data within this folder (a bunch of CSV's) by appending them into a single query (essentially combining all these CSV's into a Table in Excel). When we drop more CSV's into this SharePoint folder, and REFRESH the connection in Excel, it will typically prompt for our Organization credentials ONE time (the first time) to confirm we have permission the SharePoint site. After this, any further refreshes will work automatically without prompting for credentials.

To be clear, we have OTHER data connections that point to SharePoint. But those are only pointing to a single Excel file, instead of a whole folder. 

The Problem: 

For one employee, whenever they attempt to refresh this connection (the one that combines the files found within a SharePoint folder) they are asked to input their Org credentials. Which they do, and are told the credentials are invalid. Every time. They are incapable of refreshing this data connection. This issue is ONLY occurring with data connection that combines the CSV's within a SharePoint folder. 

Permissions:

I have given this person Full Control in SharePoint document library, but this seems to make no difference. They are still prompted to enter their credentials, which fails.

So what am I missing?