Is your question asking if you have your 'Get Data' file in Sharepoint better than in your OneDrive?
Depends who has permissions to your Sharepoint; the same could be said about your OneDrive though. If you want other people to be able to Open and Refresh the data you'll have to give them permissions to the folder/file.
My issue is that when I choose Get Data and then try to find the file, I'm unable to locate it because the only options I have are either to find it in OneDrive or import a list from Sharepoint. I'm trying to import the file from Sharepoint.