Explorer.EXE This file does not have an app associated with it for performing this action.

Ugh, I have a brand new PC (not even a week old) and I just unlinked OneDrive because it was messing with my Sage Software and tbh it is so annoying. I now am getting 6 or these errors pop up with every single thing I do on here. I need this to stop right now because I can't afford to lose the time it is making me lose at work.

You're right, it would be great to have at least which file is this file.

Anyway I managed to get rid of the message. My solution was to get autoruns from sysinternals (https://learn.microsoft.com/en-us/sysinternals/downloads/autoruns), and to remove all strange and unwanted handlers in "explorer" tab.
For me it was an Adobe DC handler that was the culprit.

I removed a lot more and now the problem is not only gone, clicking or context menu appears instantly compared to seconds before... Some low level cleaning I think it would be difficult for Microsoft to solve automatically.
They could monitor the time each click takes and report any anomalies above 1s. It would reflect problems and would force other software to improve their process. Jetbrain is doing it, monitoring for long unusual actions. For UX it is mandatory to compete with macOs for instance.

Unfortunately, the Bags registry keys aren't it.

The problem is almost certainly a timing condition, where the OneDrive cloud storage provider isn't (yet) ready at the moment when some automatic action (such as a launch-at-login program goes to re-open a file, stored on OneDrive, that had been open when the user last was logged in, after a restart).

The bigger problem of course is that Microsoft doesn't adequately engineer the tremendous complexity of its systems. Storage providers should be blocking pre-requisites before user-facing programs are allowed to execute to the point of needing something that's not yet available to them. (Application writers could accommodate this, and that's not a bad idea, but it shouldn't happen regularly like this - that's still on Microsoft).

I recently encountered this issue after uninstalling One Drive from my computer via the list of Installed apps.

I solved the issue by logging into onedrive.live.com and deleting the files there. (Make sure you download the files to your computer that you want to keep). Now I do not have that pop up on my computer anymore when I move files.

I have been on that website many moons ago and still does not help

I do appreciate you looking for us though!