External Data Refresh Failed - Windows Authentication and user credentials could not be delegated.

If you are rendering the Excel files in the portal this would mean that you have the Office Online Server integration enabled Host Excel workbooks using Office Online Server (OOS) - Power BI Report Server - Power BI | Microsoft Learn and the error most likely indicates that you do not have Kerberos correctly configured. This is not a topic I know much about myself, but I did find the following articel Data authentication for Excel Online in Office Online Server - Office Online Server | Microsoft Learn and the following might also be helpful Configure Analysis Services and Kerberos Constrained Delegation (KCD) | Microsoft Learn