Would really like to see this happen as well. Reading data from sharepoint is a regular request at my company. We have a work around for this using NTLM authentication to Sharepoint Server 2010, but for Sharepoint Online; O365 and/or SAML is needed for authentication. These extra authentication options should also be added to readers and writers when using URLs in the dataset field.
Good suggestions. We're tracking this. From what we know SAML would end up being relatively specific case-to-case but we could start by looking to support Microsoft services first.
I also would like SAML - to SharePoint Online - due to the pressure to move to the Cloud. There are functions (permissions, document management) that cannot be done with SharePoint reader/writer but via the APIs.