A family of Microsoft products that enable users to capture, organize, and reuse notes electronically.
I am sorry, but I have to tell you that the only OneNote version that supports locally saved notebooks is OneNote 2010/2013/2016 for MS Windows. On MacOS it does not make a difference if you installed OneNote as part of Office 365 or the standalone app from the store; OneNote for MacOS only supports notebooks stored in the cloud (OneDrive or OneDrive for Business), as well as all other OneNote versions like for iOS, Android or the Windows 10 app.
From a technical view, OneNote (especially on MacOS) isn't even a part of MS Office although it's installed along with it. The version that you can install from teh MacOS app store is basically the same as the "bundled" one.
This is most likely not a technical restriction but a political decision by Microsoft who considers OneNote "cloud software" since about 2014.
Please note that I am just an expert user but in no way related to Microsoft. I am just the messenger here.