Darren, Power Query might be the issue here as it uses a different connection solution then normal Excel and can be problematic to a basic SharePoint page. Try creating a simple Excel workbook with a basic data connection (no Power Query) and see if that successfully refreshes. Also make sure the “Activate Project Web App Permission for Excel Web App Refresh” is turned on in Site Collection features (yes there really is an option). Bigger question, are you using an on-premise Project Server instance or Office 365 Project Online?
I am certainly available to help if you want. I’m presenting a session on DIY reporting with Project Server/Online this Friday for the Twin Cities chapter so I’m pretty comfortable with reporting options. Feel free to ping me at firstname.lastname@example.org if you want to discuss further.