If I want to import data from Azure SQL Database to an Excel file I can easily go into
Data > Get Data > From Azure > From Azure SQL Database
and Power Query will take care of the REST
(couldn't avoid the pun, sorry):
But then I want to do this with Excel online so the file could refresh daily and be available for my colleagues.
Luckily Microsoft provides a guide called: How to refresh data to a SQL Azure Database in Excel Online and guess what? I'm stuck in the very first step.
In fact the guide tells to go into
Data > From Other Sources > From Data Connection Wizard
But there is no such thing in Excel Online:
How to connect Excel Online to Azure SQL Database and pull data?
As @Alberto Morillo said the document is an outdated and the options showed in document is not visible or supported in Excel online.
The doc you provided in that in last point they said you need to upload it in excel online by storing it in OneDrive.
To achieve your scenario, you need to first create excel and connect it to SQL database. and get the table the upload the excel to OneDrive.
and if you refresh the excel from local it will show changes in the excel online if you open it.
Update:
You can enable auto refresh option for connection so it will get automatically refreshed as below.
Quires & Connections >> Connection Properties >> Last refreshed