No gunsht is right, you do exactly what he says on the left in the "folders" section. When you left click "Folders" it lets you "create" a new folder from your desktop or external hard drive. That way when you go to click "important" the new folder you made on your desktop or hard drive is a non one drive downloadable option location. Worked for me. Why someone named gunshot knows more than Microsoft is wild.
Yes , this worked just right click on the folder icon create new folder on your local system path. And while selecting Add Photos make sure you are selecting the newly created folder. This worked for me. Microsoft smartly puts one drive option just to make users to pay extra for One drive storage.