Trying to run a discover scan for https://EXAMPLE.sharepoint.com/sites/EXAMPLE and getting the error Invalid credentials provided for <URL>
DLP Any version, SharePoint online
On premise DLP is only meant to scan on premise SharePoint.
In order to scan SharePoint online, you will need to incorporate CASB "Cloud Access Security Broker"
The CASB solution is designed handle the authentication for cloud services such as SharePoint Online.