Finding something quite strange.
Created environment with dataverse.
I go to tables, Import data, select a SharePoint site as example. I cannot sign in nor can I connect and have this error message
Unable to create an OAuth connection. Reason: "Connection could not be created due to a connection API Policy violation. Policies may be adjusted in the Power Platform admin center. (Session ID: c163fd45-a72c-4fb1-a5ff-d383a2cf6e5c, Region: uk)"

I have checked DLP policy and we have power query, dataflow, sharepoint connector. I don't know what "API" would even mean?
Surely this should just work for dataverse? It must be policy but would like more understanding if anyone can help.