I was having this problem too.

I fixed it by remote desktop'ing into the server that the SQL Server Agent was running on. Instead of logging in with my own user account, I logged in with the same account the agent service is running under. Then, I opened up Excel.

It ran through all the first time user popups, like prompting me to verify my name and initials, if i wanted to activate excel, if i wanted to get automatic updates, etc.

Once I did that, the job started working.