Were you using the OData connector or the SharePoint Online List connector?
What authentication type did you use, anonymous, Windows or Microsoft account?
Such an connection error ("neither OData service or feed") can be caused by incorrect credentails. Please check whether you provided valid login account.
If you weren't prompted for a username/password it's possible you already had credentials stored. You could try deleting your credentials and connecting again.
Sharepoint List is what I am using.
Our Sharepoint site uses Azure AD authentication so typically we enter our login credentials in the browser. I used Windows Authentication i.e. "Use my current credentials" as well as "Use alternate credentials" in Power BI. Both are giving same error.
I deleted Windows credentials from Credential Manager and also deleted any stored connections in the Data Source settings in Power BI. No luck.
Note: I don't have access to the base sharepoint site. I only ahve access to a sub-site under the base company sharepoint portal. However, I did try entering base site URL as well as the sub-site URL. Same error for both.