This problem is getting to be a real annoyance, and I am no longer sure if it is limited to OneDrive.
1) First thing today, File > Library > Back Up Library worked with normal popups for saving to my OneDrive folder and also an alternate folder, both on my C: drive.
2) Then later today, File > Library > Backup failed to exhibit popups and just automatically saved to these locations, including thumbnails without giving me any choice or completion acknowledgment.
Once MC is in this "no-popup for library saves" mode, the only way I find to restore the popups is to log out of my Win10 session and log back in again.
I saved short MC log files, bracketing the saves, for both cases 1) and 2). In case 2 only, the log has 22 lines of the following form:
0019194: 5208: General: CReferenceCountedSocket::Close: SOCKET_DEBUG: closesocket() closing xxxx
where xxxx is a four digit integer in the range 2000-6000 and of course the times vary slightly.
Both from the size of the backup files and my examining the logs, it seems in all cases valid backups get written. I don't encounter any anomalies when playing audio. The above logs are a first try - I have not verified by repeating.
MC 28.0.39 on Win10 64-bit.
A note on OneDrive: From my perspective, the current OneDrive app on Win10 works rather well. I have it set to its 3rd file save mode, in which it saves to your local OneDrive directory immediately, apparently like any other local file save, and then takes as much time as it needs to upload to the cloud. There is a convenient task bar icon which shows the state of any current uploads, as well as your upload history. I find this very useful as a double backup for my MC server library, and a convenient transport for restoring that library on clients for their local use.