Advanced analysis shows its working. Select Copilot on the Home tab, pick the Advanced analysis card or ask something like "Analyse this data using Python", then select Start advanced analysis. Excel opens a new sheet where it writes and runs the Python your question needs, visible in the sheet rather than hidden, and you can ask follow-ups about the method as well as the result.
That is a different trust model from a chat answer that asks you to take its word for it. It only works on data in the workbook you opened. It currently runs on Windows only, needs Current Channel 2409 or Monthly Enterprise Channel 2410 or later, and requires Python in Excel on your account. Select Stop advanced analysis to return Copilot to its regular mode.