Why is file sharing not available in chat between external users (federation)?

Wrapping it up for future reference.

Federated chat file sharing will not work, that is native behavior. You can actually send the file using the attachment icon, doing it in a specific order, but the federated receiver won't be able to open the file. The private chat files are stored in the sender's OneDrive folder and permissions are evaluated on the participant as part of the file sharing process. They don't have access. But you can use the ad-hoc external sharing as a workaround using the above attachment icon before adding the person in the To: field.

When you have enabled EOTP under External identities in Azure and AAD B2B using Set-SPOTenant -EnableAzureADB2BIntegration $true Set-SPOTenant -SyncAadB2BManagementPolicy $true the federated user will get a Guest account when sharing a file using "Specific people" or "People currently in this chat".

File sharing in general.

If using anyone-links you're not using federated/external access/guest access as it's unauthenticated sharing that makes it work.

If an org. doesn't allow anyone-links you'll need to authenticate with either the "external sharing experience in OneDrive for Business and SharePoint Online" or using "Azure AD B2B Collaboration".

The former was introduced some years ago so the support for external sharing in OneDrive/SharePoint Online started before Azure AD developed its support.

The OD/SP solution was introduced to smoothen external sharing using secure links with verification codes. The latter that has been in preview for long involves enabling EOTP and AAD B2B sharing that will create a B2B guest account for the external users. It has been said that the AAD B2B integration (enabled default for all tenants not opting out in October 2021) will replace the secure link process, i.e. the ad-hoc external sharing with OTP.

Microsoft 365 guest sharing settings reference | Microsoft Docs