The Microsoft Office 365 SharePoint Online connector is fundamentally the same as the SharePoint Client API except that the authentication uses Federated Authentication via Azure AD.
To connect to a List or Document Library enter the URL to your SharePoint site. Enter your Azure credentials for SharePoint and then select a List or Document Library from the ListName drop-down.
Only use the base url to your site i.e.
The username should be in the format email@example.com