A family of Microsoft spreadsheet software with tools for analyzing, charting, and communicating data
I was having the same issue also.
Current Channel, Build 2206, Version 15330.20246, 15330.20230 and 15330.20266 all have the issue.
My fix below
Enable gpo to change channel to the latest release of the Monthly Enterprise Channel
gpupdate and rebooted end user pc.
Open any office app and click update now. Update installed, latest monthly build 2205, version 15225.20356 and now no longer getting 'trying to connect' message.
Tested on two different client that were both having same issue and so far so good
Steps + admx files for gpo https://docs.microsoft.com/en-us/deployoffice/change-update-channels
Or you can manaully fix it by changing the save location in the office apps.
Then, also map the user redirected folder and hide then quick access shortcuts and show them how to access their redirected folders from the mapped drive