A couple things: On my Mac, right clicking a folder and selecting "Always Keep on This Device" did not work, but when I clicked the little gray cloud icon to the right of each folder the "download" was almost instantaneous.
It was so fast that I suspect my files were actually on my computer the whole time and "downloading" just updated the "pointers" to my files in the OneDrive folder while the actual files are in the "cache" folder.
The "cache" folder is here: /Users/My_Name/Library/Group Containers/UBF8T346G9.OneDriveStandaloneSuite/OneDrive.noindex/OneDrive
To make things even stranger, there seems to be "clone" files in /Users/My_Name/Library/CloudStorage/OneDrive-Personal This folder appears to be symlinked to the original OneDrive folder location.
If I delete a file in the "cache" folder its "clone" is simultaneously deleted in OneDrive-Personal (and the symlinked OneDrive folder).
The delete functionality is "normal' in the "cache" folder as deleted files will go to the Trash, but if a file is deleted in OneDrive-Personal, there's a warning that the item will be deleted immediately with no undo. The file can be restored from the OneDrive online Recycle Bin.