You're right, this is a misleading "can't cope" messagem for a Power BI bug.
If this issue was only due to referencing other queries, nobody would be able to solve it, as many have, by using staging queries, custom functions, or changing the steps order.
The advice provided in this blog post now appears to be running contrary to experience in Power BI.
A query that contains all the Web.Contents calls a query needs leads it to function correctly. The splitting of the different Web.Contents calls into seperate queries before being merged into one final query leads an error to be thrown.
The error can occur from privacy permissions as well. It may be necessary to take the steps outlined in the solution above and also to change the privacy options. File>Options and settings>Query Options>Privacy
Then choose "Always ignore privacy level settings".