For those with a technical interest, the problem in Dorico wasn’t to do with the on-demand nature of OneDrive, but rather an innocuous function that checks that a file really exists before trying to open it. Unfortunately, in this case the OneDrive file isn’t truly a file, it’s a special kind of softlink, so the function says ‘no, this file doesn’t exist’. Ironically Dorico would have been able to open the file anyway if it carried on because the filesystem would have transparently loaded it.