Please note that "Unrecognized response when getting SharePoint online security cookies, please check your credentials " is not a Tableau error error but a Microsoft error.
If you are using SSO for Office 365 you will have to add the SSO connection to your trusted sites under your Internet settings:
Internet Settings: Trusted Sites: ADD Sharepoint.<Company Name>.com and this will fix the issue.
Note: in the username field, the full email address must be used.
Hope this help.