General answer: Because it's needless complexity (relying on a company's service rather than... reading from a local disk) that masks what is actually happening behind the scenes. It will always be less reliable.
Answer in that specific situation: They were files in a OneDrive that no longer existed after a tenant migration (they hired a consulting company that seemed to bungle things).
If software prevents me from performing a simple action on my files on my machine (unless this is the specific intended function I had for the program) it is, in the simplest sense of the term, malware. It has done me malice. People pay to be harmed, go figure.
General answer: Because it's needless complexity (relying on a company's service rather than... reading from a local disk) that masks what is actually happening behind the scenes. It will always be less reliable.
Answer in that specific situation: They were files in a OneDrive that no longer existed after a tenant migration (they hired a consulting company that seemed to bungle things).