A family of Microsoft spreadsheet software with tools for analyzing, charting, and communicating data.
Ben,
This is Andrew Stegmaier, and I'm the Program Manager in charge of Excel embedding. I noticed that the link to your example sheet was not in edit mode. The dropdowns won't show up in view mode, since the user can't change any of the cells (whether they have dropdowns or not in this mode).
To embed your spreadsheet in view mode, in Excel Online, go to File > Share > Embed, and select the option "Let people type into cells (their changes will not be saved)"
-Andrew