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It must be a general issue with Office 365. I've had similar spotty connection issues with OneDrive when ProtonVPN is on. Super frustrating. I use a VPN to protect all of my connections in public places (Starbucks, airports, etc) and to have Office documents fail to open is irritating.
I've reported the issue with a frown face in Excel which is where I see it most often, as that is what I use most often, but no response yet.