Olaf, you're the legend! I wasted a couple of hours of my life searching for a solution – I had disabled the feature years ago when it was still visible by default in OneDrive's GUI, but after a fresh install yesterday I couldn't find the solution to getting Excel links to stick to the local paths I give it – but you have saved me many more hours of cursing the MS gurus who are, I suspect, living in a parallel universe where logic and real life realities do not exist.
Why these MS gurus decided to hide this feature is beyond me. The clean install was because I get frequent sync errors, quite literally any time I access a backed up file online... and whereas resetting OneDrive usually fixes that, albeit with same data loss, this time OneDrive kept on saying it was unable to reset. Multiple reboots didn't change this behaviour, hence the clean install and the unwanted effect of Excel links being changed by MS to point to SharePoint.
Now that the Excel links issue is resolved, I can go back to having just one issue to deal with – OneDrive's abysmal ability to sync files between local and cloud.
Genuine question here. Which is more likely to happen between a) MS engineers making a robust sync app that doesn't give trouble, and b) winning the lottery jackpot?