Hello,
I do not think this is related to missing consent in Azure AD as it does not work in OnPrem Excel Only. It does work in a browser.
The first screenshot is about loosing internet connection. Does this happen on all computers or on just one. Is the account you are authentication with added as a service in Excel (user name at the top of the screen at the right hand side).
If you raise a support ticket to Microsoft via your CSP, my ask would be to get a Fiddler trace to see what is really happening (assuming the internet connection does not get lost of course).
Download:
www.telerik.com/.../fiddler
Configure it to decrypt ssl traffic, in Fiddler select Tools, Options, HTTPS, select Decrypt HTTPS traffic, and the other two options are optional, OK:
Select Tools, Win8 Loopback Exceptions (I did select all, but that is probably an overkill), Save Changes:
Thanks.