Hi Noel,
Based on your description, did you try to insert data from SharePoint site by Data-From Web?
If yes, I can reproduce your problem and it seems that this is a by design behavior in Excel 2010.

Since Format as a table will create a source and overlap the existing source, you could not format the web query.
Another option is use the XML in the Developer Tab which you could import the xml from SharePoint directly as a XML source. The XML source will create a table and you don't need to format it again.
Please try this method and check if it works for you.
Any updates please let me know, I'm glad to help and follow up your reply.
Regards,
Emi Zhang
TechNet Community Support
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