If you're using Application Guard on Edge, these are the steps to allow file download to your physical device running Windows 10 Pro or Enterprise.

Any files or folders you download from OneDrive will be available in your computer's Downloads folder or whatever location your web browser stores downloaded files.

To download files from Dropbox, you'll need to open Dropbox in an internet browser and find the file you want.

But if you prefer to keep local copies of your Office files, or if you use alternative cloud storage services such as Google Drive, you should force Office to save files to your computer.