Please note that the way OneDrive* works is not limited to the compute stick, so the settings you choose here will affect the way OneDrive* behaves on the cloud and in other machines. We can wait to see if there are other users that would like to share their expertise on how this app works or you can check with Microsoft to see if there are any settings that will prevent any files downloading to the stick.
After some more googling, it appears that it is a "feature" of MS's OneDrive in Win 8.1 that you can't select what to sync, but that in Win 10 you can using something called Selective Sync. - Roll on July 29th
I have moved my 15GB OneDrive & 15GB Google Drive folders to my SD card, but DropBox refuses to allow the use of external storage although you can apparently fool DropBox into allowing it by creating a Virtual Hard Disk on the SD card - crazy
I won't go to that extreme, but at least most of my cloud storage is now syncing to my external SD storage..
I guess I have sort of answered my own question !