File History will backup any files that are "available offline", because those are actually stored on your hard drive.
I actually do the exact same thing. I own several devices: a Surface Pro, a 8'' Dell tablet, and a home PC. Plus a company-owned PC at work.
I have close to 260 GB of data in my OneDrive, but only 15GB of that I keep on my Surface. But my home computer keeps all files synced down to the C: drive, plus it is my File History computer (it's the one that has the 3TB western digital drive plugged
into it for File History).
I used to have all my computers send File History info over to that drive over the network, but I realized that was a bit too much overkill for my needs. The computer with the drive is always on and already makes a copy of changed files every 30 minutes,
I don't need redundant copies from the tablet coming over there to that drive too.
OneDrive really isn't a backup tool, but this really meets my needs. I have that File History drive, plus the same files on the internal drive of that home PC. Plus the copy in the cloud. Plus a couple 'cold' backups of truly old/won't touch again for years
stuff.
I do the exact same thing with two different areas of my "work" files. I've got my "OneDrive for Business" of private files, and then the OneDrive sync system also handles giving me easy access to SharePoint and Office/Outlook group files without having
to reach for a browser. And like OneDrive, those can be available offline selectively however you want, but you can always see all the files. Those "Files on Demand" placeholders are my favorite thing.
My biggest desire right now is for everyone on my team to get to be using these. Brining up all these file shares up to the navigation pane makes my workflow so much easier, and I never have to mess with a browser to upload/download files to online storage,
yet all the files make it there.
But short story: as far as File History or any other program cares, any files that are "available offline" are just regular files. They are pretty agnostic to the fact that OneDrive is making copies of the files (would be the same for DropBox or Google
Drive, I think Amazon has their own service for this now).
OneDrive.com also has file versioning so you can go back to what a file looked like previously, but I am fairly sure it only does that for Office file types, not things like pictures or data.
PS. I blogged about this at cmdrkeene.com/the-bare-minimum-backup-strategy if you'd like a bit more coherent look.