Did you figure it out? I have the same issue trying to open a csv file from a web page url..
I have this URL (requires authentication, but i want to show how the URL looks) https://"myCompany"/_/service/no.company.placeholder/read-and-acknowledged?id=7fc4c347-a074-44e3-b257-1627d763492c
If I openthe URL in Chrome it downloads a .csv file. I cannot figure out why power BI can't do the same? It authenticates just fine, but returns the message cannot be retrieved using web.page. It doesn't appear to be a web page
If i change it to .csv i only get this picture, its the code of the page, not the csv file.