Hi tea_street,
Thank you for posting your question in this community. From your description and screenshot, when you are getting data with Power Query in Excel, it would promote your there are block content with an error about the web browser restricts the file.
It seems that you have tried a lot of methods, such as enable option in Internet options, allow active content in Excel Trust Center, repair, reinstall Office application, but they are still not avail.
I also did a test from my side which I get data from web, SharePoint list, SharePoint site in Excel and use Excel Power Query Editor to transform data, I have no issue from my side.
To further narrow down this issue, may I know the following information at your convenience?
1: What is your Office application version, update channel? You can go to File> Account > Product Information to find all details and share a screenshot about Product Information page with us.
2: What type data you are trying to get and transform in Power Query Editor? Such as Website data, database, etc. Please also share more details steps about how you import data in Excel, if it is convenient, we can also try to reproduce this issue from our side.
3: Try to get data with different option in Excel and transform the data in Power Query Editor, such as from web, from SharePoint list, and see whether you will get the same error.
4: How about the other colleagues in your organization? Do they have same error in Excel when they try to transform the data source in Power Query Editor?
At meantime, I suggest you can try out the following methods and see the result.
1: Clear Excel data sources permission. You can go to Data tab > Get Data > Data source settings > Global permissions > Clear All permissions
2: Remove the Power query cache folder in the path: C:\Users<your profile name> \AppData\Local\Microsoft\Office\16.0\PowerQuery
Best regards,
Dihao