It doesn’t appear the you are browsing your online OneDrive account. This is evidenced by the fact that file explorer is clearly showing a local folder.
If you are only looking at the local folder you’re not going to see the online files. As you stated, you aren’t syncing the files you are looking for locally.
Be sure you are signed in to Office, and OneDrive will work online automatically. Files are opened and saved directly from OneDrive online.
See here: https://support.office.com/en-us/article/Use-OneDrive-with-Office-b1c976de-ef52-4d53-950f-d48f2c6427df
As seen in the article, if you have disabled the option to “Use Office to work on files with other people at the same time,” it will also cause Office to revert to using local folders only in my experience.
As a final step, if this hasn’t gotten you in the right track, make sure you have installed the latest version of OneDrive. There have been massive changes, like the next gen. unified client, and it is quite likely you’re running an obsolete version.
http://onedrive.live.com