Can’t create Word sub-documents when original file is in OneDrive?

If I have a local file, or a file on a mapped network drive, I can use the master document tools to split it (create sub-documents). If I have a file on my OneDrive, fully synched locally, Word doesn’t throw an error but it also does NOT create the sub files in the location of the original file. Shouldn’t this work the same way? Is it an issue with the way my OneDrive is setup?