on both my machines (I just checked), Word attempts to save in the last location I've used, be it online or local.
That's how it works on my iMac, which has never had the OneDrive desktop app installed (not since I wiped it and re-installed the OS, at least) - if I select 'online locations' when I save a document, the list is empty, even though I have OneDrive as part of my work Office account.
On my MacBook, which did have the OneDrive app installed at one time, the save dialog box always defaults to OneDrive/online, as per Chris's experience, and I can't see a way to change it. I think what Chris says is correct - setting a desktop folder as the default save location is not possible on a Mac. Also, you
can make Dropbox a 'place', but again only on Windows machines. As any long-term Mac/Office user will know, it's no surprise that Mac users don't get the same range of options as Windows users.
Microsoft's official reasoning for making OneDrive the default save location is to "make our lives easier". In fact, it's them covering their arses after a bug in Windows was causing people to lose their documents.
One thing I would recommend, though I don't know if it makes any practical difference, is to download the Office apps from the App Store rather than from Microsoft. This means you only have to download the specific apps you want individually - iirc, if you download from Microsoft, you have to install the whole suite.