As a long time Mac user myself, I am entirely comfortable saving all my Office files on OneDrive. Admittedly, a part of that, in my case, is that I have not only a laptop but also a desktop (M1 Mac Mini), so files saved on OneDrive are readily accessible to either computer. But also, I have confidence that Microsoft is reliably backing up the cloud files, more reliably than any ground-based system I might have.
Having looked through Preferences just now, I haven't found a place to set a default for hard drive.
Anyway, if we were talking face-to-face, my first question would be "Why are you so concerned to save all to the hard drive in the first place?"
Moving on, though, unless I'm mistaken, once you have saved a given file on the hard drive, it will remain on the hard drive through every open and close operation.
That said, I think you can just click on Preferences..., the third link under Microsoft Excel, up in the top left of your screen.
Then, in the Preferences dialog box, select the bottom-left icon for "Save"
and see what your choices are. As noted, I don't see a default location; only by default the saving in OneDrive as changes are made, and that default can be turned off to allow you to make changes and only save when you so choose.
I'm eager to see if there is a way to set a permanent default...if some other long time Mac user knows of such.