I won't pretend to know this by any means, but from extremely quick research it seems that regular OneDrive ONLY support NTFS, and I imagine that would necessitate supporting NTFS transactions, and I'd speculate OneDrive for Business is pretty much the same, but who knows.
More significantly, I didn't notice this problem up until sometime in the past month or so, and I was definitely using Paint.NET to save into OneDrive sync'd folders for a while before that (months, at least).
... and since Paint.NET was last updated in mid-Feb, but OneDrive was updated in early April, I'm leaning toward that version of OneDrive being the culprit. I'm trying to get the go-ahead from my corp help desk to install a late April update.
For my situation, everything works normally, with the OneDrive folders acting just like local ones, up until the point where I save from Paint.NET into one of them.