Do note that OData respects all the security rights. So has the user account that retrieves the data all the rights to read that data? So double check your security.
I tried the ODATA exposure in one of my local without authentication and it worked.
As Ronald suggested, it might have to do with your security. May be try disabling the authentication and check once again.
If it works, then you must look in to your security. You can also try accessing this URL from browser to see if atleast the metadata information is loaded.
Another reason, if there are lot of data, when you are trying to load in Excel, it takes sometime. So, IMHO the loading time depends on the amount of data also.
When you are deploying this in your Mendix cloud, please ensure if you are enabling this link. Read https://docs.mendix.com/developerportal/deploy/access-restrictions