We are currently working on improving the refresh of cloud based data sources. As part of this, one of the changes we 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. We are working on removing this restriction in the future.
I have case with using url https://onedrive.live.com/download. In PowerBI Desktop it works, on PowerBI Service it does not (it gives me no credentials message). Onedrive is personal version, and link is for anonymous connect.
As far as I know, this only affects any "screen scraping" you are doing; so if your queries contain "Web.Page", then you will need to follow the advice here. We have plenty of data sources that are accessed via http / web and that's not going to be affected. E.d. OData.Feed, Web.Contents, etc. will all be unaffected.
Hmmm, I have no scraping stuff. I have two workbooks and pbix file on personal onedrive. Pbix file was imported into PowerBI service (free) using GET DATA, and Pbix file as source targeted those two excel workbooks on onedrive via https://onedrive.live.com/download... links.
All this worked before on PowerBI service, and still works on PowerBI Desktop, but now I get errors about credentials or it spins while auhorisation of web credentials.
OK - there is another issue that affects data connectivity to OneDrive / Sharepoint that you are probably running into. That is being addressed at the moment. This is different from the Web page import issue.