Hi joe,
According to your description, Autosave is still off when you open the file from SharePoint. Could you please check the two buttons below is enabled?
Open Excel>File>Options>Save, check whether the button ”AutoSave OneDrive and SharePoint Online files by default on Excel” is enabled.
Click OneDrive icon>Others>Settings>Office, check whether the button ”Use Office applications to sync Office files that I open” is enabled.
About the second image choosing an OneDrive account, prompt user encountered when he turns on AutoSave in Office application is a normal behavior because Office applications needs to verify the account so that the content made will be synced. Prompt doesn’t mean that files are saving to user OneDrive, as we’re syncing the SharePoint Document library with help of OneDrive sync client, it is asking you to select the account.
So you need to select the OneDrive account which is the same as SharePoint, then the change in the opened SharePoint file will still save in SharePoint original location.
Regards,
Jazlyn