SharePoint Online URL in Windows 10 File Explorer

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While I have seen several conversations that may apply to my question, I do not think this specific question has been answered.  We found folders on the on-prem version of SharePoint ( is this SharePoint Server?) allows us to navigate to the SharePoint folder (I know folders in SharePoint are discouraged), copy the URL, and then paste the URL into Windows file explorer and connect to the SharePoint folder.  I have tried the same process in SharePoint Online and I get an error stating "Windows can't find 'https://xxxx.sharepoint.com/sites/{my site}/{my library}/.  Check the spelling and try again."  Is it not possible to do this with SharePoint Online URLs of document libraries with folders?  I have used both Sync and Shortcut to OneDrive but also wonder if just pasting the URL is also an option as our users are familiar with this process from the on-prem SharePoint site.  Thanks!

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