The credentials provided for the Web source are invalid

Hi. Yes, the credentials in Power Bi Desktop are just for it. When you publish yo the Service you have to reconfigure the credentials and sometimes even installing a Data Gateway to use the credentials to read data on premises.

If your odata connection is only a web connection you can try just configuring the schedule refresh:

https://docs.microsoft.com/en-us/power-bi/connect-data/refresh-scheduled-refresh

If your data is onpremise in a local environment consider reading this doc:

https://docs.microsoft.com/en-us/power-bi/connect-data/service-gateway-onprem

Hope this helps,