Researching a solution with the support team of Microsoft I came to this conclusion:
Connect Dataverse tables to Excel
1) Get the Service Root URL
Go to the Power Platform Admin Center:
https://admin.powerplatform.microsoft.com/environments
Select the Environment that contains the tables you want to connect to and click "Open Environment" in the top.
The page that opens now likely looks like "Active Analysis Jobs". Here go to the cogwheel on the right top corner and click it. From the dropdown select "Advanced settings".
A page opens for "Dynamics 365 settings". Click onto the small drop-down arrow beside "Settings", go to the second column from the left called "Customization" and select the first entry "Customizations".
In the "Customization" page select "Developer Resources". The subtitle of "Developer Resources" is:
"View information or download files that help you develop applications and extensions for Microsoft Dynamics 365"
Under the headline "Connect your apps to this instance of Dynamics 365" go to "Instance web API" and find the "Service Root URL". Copy this "Service root URL" and paste it into a new blank Excel file.
2) Link Excel to Dataverse using the Service Root URL
In the blank Excel file go to "Data", "Get Data", "From Other Sources", "From OData Feed".
A small menu opens with the label "OData feed". Select "Basic" and paste the Service Root URL to the field.
In the new menu wait until it is fully loaded. Then open the root folder and find a lot of tables available in your Environment. Activate "Select multiple items" in case you want to import more than one table. Select the tables you are interested in and click "Load to...". Then you can select "table" and to save the data in a new worksheet.
Now you have a query in Excel that is linked to a table on Dataverse. You can refresh this table anytime and receive real-time information without a limit on 1,000,000 cells.
Thanks for all the contributers in this post and to the Microsoft Support Team.