With OneDrive, your files are stored in the cloud (Azure), but available to be accessed locally. This is more for user documents etc
With fileservers, this is more for self-hosted shares that multiple people access and share to do their role. This can be accessed by multiple people.
This is definitely an 'it depends'. Depending on your use-case and data, you could look at migrating your data from your local server into a Microsoft Teams site under Files - that users can access from any location.