Hi Xiaoxin, I am using the same version of PowerBI, however SharePoint 2013 on-prem. I did have better success using an Odata connection in my most recent attmpts. By specifying as the source URL https://{site}/_api/web also this URL gives more information about the content of the sites, but is not easy to work with. https://{site}/_api/web/lists/getbytitle('Documents')
Best,
Sid