The local folder in your video is just a “place holder” for the folder which is in the cloud. It’s really not on your computer. As I said, download that folder and its contents from the cloud to your computer and then try to pin it to the taskbar.
I am able to pin any folder to the taskbar, but all my files are on my computer and only synced to OneDrive. If you are unable to pin folders that you know reside on your computer, then something is definitely wrong.
