Microsoft Office on Mac using OneDrive

I just switched to a MacBook Pro. My first Mac purchase after decades of Windows.

I noticed when using Windows OneDrive, there is a complementary set of files in a folder on the disk drive. I don't see this information on my Mac.

I also notice that when I open an excel file on the OneDrive and agree to update the links, references to other files on the OneDrive can't be found. I get the error

"Unable to open https://d.docs.live.net/[my OneDrive Number]/[Filename on OneDrive.xlsx. Cannot locate the Internet server or proxy server."

Am I doing something wrong? Did Microsoft Office install correctly?

Jack in Snow Country