I have the same issue.
I have a MBP 2018 15" TB when opening a file from Finder AutoSave is off. I turn on AutoSave and follow the prompts and AutoSave remains on. When I close my word file and open it via Word recent or Word open file AutoSave remains on. HOWEVER, when I open
the file via Finder it redownloads the file from OneDrive and AutoSave is off. At this point there are two directories on Open recent, one via OneDrive folder (Actual OneDrive Account linked through Word) and one via the macOS folder structure to OneDrive
folder. At this point if I try to open the file from the OneDrive folder, AutoSave is off. It seems to be related to permission, my Full Disk Access for OneDrive is on and does not make any difference.
My mother has a MBP 2017 13" nonTB and her OneDrive AutoSave works via Finder (macOS folder structure to OneDrive folder, which is created by the OneDrive App). We are on the same package with a shared Microsoft Office 365 Home (Microsoft 365) account. She
can still view documents I have shared to her and AutoSave works.
My Friend has a MBP 2019 13" TB and a Mac Mini 2014 and his AutoSave does not work using the same process as myself on the MBP 2018 15" TB.
My fathers MBP 2017 13" nonTB works on a Microsoft Business Premium account and his AutoSave works.
All computers are running the same software versions.
OneDrive: 19.232.1124.0012 (Standalone)
Office: 16.36 (20041300)
macOS: macOS Catalina 10.15.4