QA - I know the answer.
I created the OData endpoint of the WCF data services and all of its work, PowerPivot connects, and I created some pivot tables.
Then I implemented the HTTP Basic Authentication handler, which challenges requests not represented by an authentication header with 401 WWW authentication, see link:
http://www.asp.net/web-api/overview/security/basic-authentication
This works for IE; the browser displays a credential input dialog, and IE continues to attach a header with subsequent requests, caches it.
In Excel, I see that it sends an authorization header in response to the initial call, but it does not cache credentials and does not send the header on the next request.
Everything is installed in accordance with PowerPivot instructions.
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