Which application are concerned ?
This works for Word, Excel or PowerPoint files, stored on OneDrive or SharePoint.
When you enable this feature, it applies to all three applications - Word, PowerPoint and Excel.
Windows: Open your files directly in Office desktop applications
Just go to any Microsoft 365 for Windows application by going to File > Options > Advanced > Link Management.
MAC: Open your files directly in Office desktop applications
On Mac, you can change the setting by going to Preferences > General > Link Management.
For more information, click here to see the Office documentation.