SOLVED - Had same problem but saw that no one posted the answer. Although I'm sure many here have found the answer elsewhere, I will post it for posterity.
To solve this, you need to know 2 things:
#1 - when you do a File History Backup, if a folder is seen as blank, it is skipped over.
#2 - OneDrive (The program) will either save a hard copy on your computer, OR save a "virtual file link" in it's place to save you hard drive space.
Therefore, if you do not have a hard copy in your computer of your OneDrive cloud files, the backup will interpret that the OneDrive folder is empty and skip over it.
Solution: Find the OneDrive icon found in right side of the task bar. Click on it and then click the "menu dots" on the top right. Choose "Settings" in the menu. A dialogue box will open titled, "Microsoft OneDrive". Under the Settings tab, and in section "Files On Demand" you must UN-SELECT the box for "Save space and download files as you use them". This will allow you to keep a hard copy on your computer hard drive and thus be able to back it up to an External Hard Drive using your File History Backup feature within Windows.