chukwusomeje
I must confess that I'm getting to understand Microsoft Apps and Services better (than I do... Really!)
I ran into a problem as many others also did; couldn't find "import from web" on Excel (web). I tried reaching out but you will agree with me that the community is quite populated and monitoring all message is (perhaps) impossible, hence I decided to share my findings with as many having same issue.
First, Microsoft 365 (which include Office 365 Apps; Word, Excel, Powerpoint...) can be categorized into;
Microsoft/Office Desktop (the one you install on your PC)
Microsoft/Office Web App/Services (when you use it via your browser)
Is the above clear? as it will help you continue.
There are some features that aren't available yet on the web version (Microsoft/Office services/Web App), meaning you can only access them when you download and install Microsoft packages (say Excel) on your PC, unfortunately, the "import from web" is one of them.
[if you noticed theoyinbooke used Excel Desktop to scrape the COVID 19 data in the walkthrough, though he didn't explicitly mention it (you may go back to the video to be sure]. Also, let me mention that you need to be connected to the internet (Just in case)
You may checkout Microsoft documentation to figure out the differences between the WEB (version) of EXCEL and the DESKTOP (version) here;
https://support.microsoft.com/en-us/office/differences-between-using-a-workbook-in-the-browser-and-in-excel-f0dc28ed-b85d-4e1d-be6d-5878005db3b6
https://support.microsoft.com/en-us/office/data-import-and-analysis-options-3ea52160-08bc-45ac-acd9-bc4a11bcc2a2
Also, checkout my blog! I hope this helps!