I have tested it and if I use the html representation I get the same Loading... message. It looks like Excel gets the result and doesn't wait for this page to completely load.
I tried the other representations. I believe that what you are looking for is the XML representation. My suggestion is to modify your web service to get the xml instead of the html version. For a quick test you can add the ?$format=XML to your url and see if that is what you need:
If that works and you do not want to have to specify the format every time, set as default the xml representation in your web service.