Data from SharePoint and OneDrive should be two different issues. Can you see the OAuth2 method in Authentication method?
In Power BI Desktop, I get data from a excel file on OneDrive for Business with the steps in this official document. After I publish it to Power BI Service, I try to change the data source credential to OAuth2. Everything looks fine until now. But once I click edit credential again, the credential reverted to Anonymous. If I click refresh now, the refresh will be failed.
I find that there is already a same issue reported (CRI 21446391). Power BI team are working on it. Based on the information I get, the fix maybe available later this week (11/26). Please try it later and post back if issue persists.
Best Regards,
Herbert