The funny thing is, this is as trivial as something can get.
Even without a more seamless and smooth integration, .url - files should be supported from the start.
An .url - File is as trivial as a file format can get.
You all can see it for yourself, by opening a .url file in an editor.
It looks like this, for example.
[InternetShortcut]
URL=https://www.google.com
It should be recognized as a simple URL and by clicking on it, go to the destination URL (maybe with a short reminder that this file wants to redirect you to this URL, as usual). This is a work of half an hour, including testing, even for a novice developer.
So why Microsoft cant fix it, is a miracle to me.
For having a more smooth experience, add a check that looks up if the URL ends up in the same OneDrive as it is in, omitting the message and just go to the appropriate folder, even change the icon to a folder with a shortcut icon maybe.
Same goes by the way for .lnk files - what we know as "Windows Shortcut" the file content is only slightly more "complicated" than the example above.
Same procedure: Check if the Shortcut is pointing towards a file inside the OneDrive and if yes, go there.
That we cant use Shortcuts in OneDrive Web is a real problem for our company because we rely on shortcuts in our folder structure a lot!
So please Microsoft, do something about something trivial as that