Funny that none of the questions relating to known folders already redirected to a network share have been answered. I've just tested this and it fails because the known folders are on a different volume than that of OneDrive, i.e. \\server\share as opposed to C:\
To be fair, it does state this here:
https://support.office.com/en-us/article/protect-your-files-by-saving-them-to-onedrive-d61a7930-a6fb-4b95-b28a-6552e77c3057?ui=en-US&rs=en-NZ&ad=NZ (from clicking the Learn More link on the fail dialogue).
"The folder is on a different volume than OneDrive: OneDrive is set up to sync on a different volume than the folder selected for protection. (for example, OneDrive is on the D: drive, but the Documents folder is on the C: drive)." So, looks like it will be anything other than simple to turn off network folder re-direction, hope all the files revert to the local drive, then sync to Onedrive. I could do this perhaps for new staff but then it would need a separate setup just for them and additional management.