Excel when connected to external data: "We found a problеm with some content in [file]"

After much Googling, trial and error I finally stumbled across this thread on Microsoft Answers, where Sridhar suggests this workaround (emphasis mine):

This happens only if I "Add to data model" AND set the "Refresh data when opening the file" during the creation of the connection.

If I dont set the "Refresh data when opening the file" and create the table and later go to "Connections -> Properties" and it set it again then this does not happen.

I can confirm that this solved the issue in my case too.

This is the checkbox to leave unchecked when adding the connection:

To enable this option after creating the connection:

1. Click on the "Data" tab, then "Connections"

3. Select the appropriate connection (not the data model), click "Properties"
4. Check "Refresh data when opening the file" (see screenshot above)
5. Click "OK", then "Close"