I dabbled around with External Data Sources a while back with this public Northwind OData data feed. I decided to take another look at it for a project we are working on, but it appears Salesforce has changed this feature so it no longer works with OData and external objects. The documentation now talks more about Files Connect and Lightning Connect, and doesn't say much of anything at all on how to use a Simple URL to connect to an external OData data source for defining External Objects.
When I look at the screen, the page still makes mention of connecting to third-party databases and content systems:
Has Salesforce removed the ability to connect to an OData Data Source using the out-of-the-box External Data Source feature?