That’s because the app you have installed on your Nintendo Switch is a Plex Player. You will need a Plex Server for your player connect to and your server would mount your OneDrive.
+---------+ XXXXX XXXXXXXXXX
| | XXXXXX XXXX
+----------+ | | XX XX
| | | | X One Drive X
| Nintendo | | Plex | X X
| Switch +-->+ Server +--------+X X XXX XX
| Plex | | | XX XXXX XX XXXXX
| Player | | | XXXXXXX XXXXXXX
+----------+ | |
+---------+
Although, I’m not sure if you can stream from OneDrive, I know you can do that using Google Drive + third party apps.
If you will not run H.265 or 4k movies, you can use a Raspiberry pi as a server.