Did you get the same error for all the web data source but not just Wikipedia?
Power BI team are currently working on improving the refresh of cloud based data sources. As part of this, one of the changes they have made recently is that new datasets that leverage import from Web pages will not be automatically configured for refresh in Power BI service, and will require the use of a gateway. Please consider using the Personal Gateway or On-Premises data gateway if you would like to use this capability. They are working on removing this restriction in the future.
Data from a dataset that connects to on-premises data using thePower BI Gateway - Personalor theOn-premises Data Gateway is Power BI Pro content. So you may get above error message if you are using a free account.
The error only happens with wikipedia source, I think that can be because the anonymous access, I don't know, but if I delete the wikipedia, the error go out. I get the data from wikipedia e put in an excel file and saved on the onedrive for bussiness, I redirect the data from wikipedia to this excel file on onedrive and the error didn't appear again.