Since 2019 Microsoft have been disabling legacy authentication for SharePoint sites, using a username and password. All new sites will need to use OAuth however some existing sites can still use a username and password to connect to SharePoint.
To connect using a username and password open the connection window and click onto the SharePoint Online connector.
Enter in the base URL to your SharePoint site in the format
https://<domain>.sharepoint.com/<site1>/<site2> and change the authentication mode to Legacy Username & Password.
Enter in a valid username and password and then click the big blue connect button.
You can select the list you want to connect to from the dropdown and set the default delete behaviour. Choose between
Click on to Connect & Create Library Connection to save the connection to your local connection library. You can then re-use the connection to your SharePoint site from the Connection Tree when creating new projects or adding lookups.