
@JayCarper-5747 I realize this is an old question but, over 2 years later, I am still encountering the exact same issue you outlined above and I found a solution that I wanted to share in case it helps anybody else...
After downloading a file from OneDrive via the "keep on this device" function (in my case, old cell phone videos originally backed up to OneDrive), right click on the downloaded file and go to Properties. Then, click the Details tab and scroll to the bottom. That screen shows that the files coming down from OneDrive are being tagged with Attributes "A" and "P". I do not know of a way to modify those attributes from the properties screen but, using the following command in Command Prompt, you can remove both the A and P attributes from either an individual file or a set of files in a specified directory.
attrib -a -p C:\Users\Your Name\Directory of Files\* . *
After doing so, the file(s) can be moved to the NAS without any issue. I hope this helps someone in the future!