I have a MySQL database 8.0.31 with ODBC drivers running local on my MAC. I know Excel can connect to it as you see from this screen shot where I use the Get Data (Power Query From Database (Microsoft Query) and from the dialogue box select System DSN and login with my credentials and are able to run a SQL query the database:

However, when I use Get Data (Power Query) From SQL Server ODBC and fill out the corresponding dialogue box, I get the following error:

I have also tried localhost 127.0.0.1 and also with port added like 127.0.0.1:3306.
Searching on this error does not tern up anything for my particular scenario. The best I can tell it can't find the host (but I'm at a loss as to what that syntax would be.