Error accessing Project Plan in customer's Sharepoint Online environment

Brief description of the issue:

• Our user has a Project Online Plan 3 license, and has the associated Microsoft Project application installed to his computer
• Our user is collaborating with a customer organisation that has provided access to a folder on their Sharepoint Online environment where a Microsoft Project plan (*.mpp) file is stored (eg. 
  https://customername.sharepoint.com/:u:/r/sites/sitename/Shared%20Documents/Project%20Plans/Project%20Plan%20Release%20V1.mpp?csf=1&web=1&e=3SsAQi)
  
  
• If our user tries to open the Project plan (*.mpp) file directly from the customer's Sharepoint environment he encounters an error as per the attached screenshot ("Project cannot open the file. Check that the file name and path are correct. Check that the file format is recognised by Project. Project files saved in a version earlier than Microsoft Project 2000 can't be opened. If your file is from an earlier version, open it in that version, click Save As (File menu), and save in MPX format. Open the MPX file in the current version of Project. When you use this method, project data is imported, but formatting is lost')
  
  
• However, if the user downloads the Project plan (*.mpp) file from the customers Sharepoint site to his computer, he is able to successfully open/edit & save the file from the local copy before uploading it back to the customers Sharepoint site.

We are trying to understand why the user is unable to directly open & edit the Project plan from the customers Sharepoint site (ie. the 3rd bullet point above) given that our user clearly has access to the Sharepoint site and has a Sharepoint Online Plan 3 license assigned by our organisation. 

Any suggestions ?