Hi Luis,
Happy new year, have a great year ahead!
Based on your post, I tested on my end and encountered the similar situation. When refreshing the external data in Excel for the web, initially I received error "Be Careful. This workbook contains one or more queries that might be unsafe" when clicked “Yes”, it said “External data refresh failed- We were unable to refresh one or more data connections……..”.
Depending on how your environment is configured, data refresh might not occur. For example, if you created a workbook that uses secure, external data connections, those data connections will probably not work in Excel for the web. If you run into a situation where you can’t refresh the data in a browser window, please try opening the workbook in Excel.
On Microsoft 365, you can work with the PivotTable, but you won’t be able to use the Data >Refresh to update its data. You’ll get an External Data Refresh Failed error message, along with the name and location of the connection that failed to refresh.
In this scenario, to refresh the data, open all the workbooks (source and destination) in Excel desktop application and try refreshing the data, check if this gives the error.
We appreciate your understanding and co-operation.
Kind regards.
Neha