When Project Online was first released, there was no mechanism to refresh Excel reports consuming OData feeds. Users were encouraged to open the Excel reports and manually refresh the reports. Macros were written. Hair was pulled in frustration.
Somewhere after the release, Microsoft came up with a clever solution – which involved basically routing the Excel report to an Azure server, which then triggered the refresh and returned the data to the Excel report. The instructions for configuring this were posted in Microsoft blog under a somewhat less than obvious title: http://blogs.office.com/2013/03/29/project-online-and-excel-web-app-cloud-data-improves-reporting/
Somewhere after that was posted, the configuration became a site collection feature. Hence, if you’re using Project Online right now, you need to activate this at the PWA site collection level.
To get there, go into site settings for the PWA main site, and select the option for Site Collection Features.
The one you’re looking for is entitled Project Web App Permission for Excel Web App Refresh. Activate that and you should be good to go.
For more official architecture type stuff, take a look at this link: http://office.microsoft.com/en-us/office365-project-online-help/grant-reporting-access-in-project-online-HA104021109.aspx