When you delete files on Windows or on a Mac that are synchronized to your OneDrive area, it might not be intuitive that those deleted files get deleted *everywhere*. Microsoft now gives you a heads-up on what is happening, as well as an easy way to get to the OneDrive Recycle Bin. Here’s what it looks like…
In this case, I deleted some image files from OneDrive. Shortly after I did that, I got the following pop-up:

If I understand how the deletes work and how it affects OneDrive and any synchronization, I can select the Don’t show this reminder again so that I don’t continue to see this message.