I focused specifically on Excel 2003 for this book. I did find this comment in one Microsoft newsgroup:
"There's almost no difference in XLv.X and XL 97/00/02 as far as XL
itself is concerned - all functions are cross-platform."
So I'd assume that Web Queries are probably supported, but I don't have a Mac to test them and I couldn't find a comprehensive feature Win/Mac comparison online anywhere.
At one point, Microsoft used the same source code to generate Win/Mac versions of Excel. I don't know if that's still the case (I kinda doubt it, there were performance complaints).