You have a user who is trying to connect to the ODATA service associated with your instance but has not been successful. The service appears to be up and operational and you have confirmed that the account he is using is active and has a valid password. You can login to the Modern UX with that account successfully. However, when he tried to connect from Power BI, he is getting an error about invalid credentials.
The Odata connection works in other tools like a web browser, Postman and Excel.
Release : 16.1.1
Proxy server configuration in Power BI may be blocking your connection.