Please refer to: https://support.microsoft.com/en-us/office/download-files-and-folders-from-onedrive-or-sharepoint-5c7397b7-19c7-4893-84fe-d02e8fa5df05
(a) Web interface access: (Sign-in at https://www.office.com/ and choose OneDrive or SharePoint)
(i) It is the most recommended way for ITS to users to access OneDrive or SharePoint Online web interface in normal situations to download your folders or files to a local disk drive, a USB drive, self-owned NAS or another or personal Cloud Drive to free up your disk usage on OneDrive, SharePoint Online or Teams site.
(ii) Please note the limitation of access web interface. If you are downloading any OneDrive/SharePoint-Online folder larger than 20GB with “Download” within a zip option, then the download data will be incomplete, and download size will be less than 20GB data. So, you have to download each file separately for this case. 
(b) OneDrive Sync Client: (https://support.microsoft.com/en-us/office/Sync-with-OneDrive-bb89981b-e382-4969-b8fd-d413a90b6db3)
(i) It is only suitable for advanced users and ITS does NOT recommend using it, although it can obtain a faster download speed.
(ii) If using OneDrive Sync client, please use it with caution and remember that it is a two-ways synchronization tool. After you enable any folders/files with “Available on this device” at Sync Client (or “Sync” option at web interface) to download files to your local device, then if you delete those synchronized folders/files at OneDrive online (or SharePoint Online), the Sync client will also DELETE the same folders/files at your local client computer. Similarly, if you delete any synchronized folders/files at your local client computer, then Sync client will also DELETE the same folders/files at OneDrive online (or SharePoint Online).
Delete from your OneDrive but not your computer
If you want to keep files/folders on your computer, but not on OneDrive, use File Explorer or Mac Finder to move file outside your OneDrive folder to a different folder on your computer.(iii) If you still choose to use OneDrive Sync Client, then you must use it with caution. Before you delete any folders/files enabled with “Available on this device” option, always remind to copy again any synchronized folders/files from your defined synchronized path of local device to a third copy of files at another storage such as USB drive or NAS storage.
On you Windows/Mac computer download and install OneDrive app from Microsoft
Setup OneDrive app as followings
Select all files and folders and right-click, click “Always keep on this device”.
OneDrive data will take a long time to download, please keep your computer online with power source.
When download complete, you will see every item got the following green check status icon.
To prevent deletion the downloaded files, unlink the OneDrive app.
Open OneDrive app settings from tray icon, click “Unlink this PC”.
After unlink you can access your local copy at C:\Users\Username\OneDrive – The University of Hong Kong – Connent\ folder. It no longer show status icon. Now you care safe to your delete OneDrive files on OneDrive website.
