This was in the Onedrive web client.
Assuming the worst of Microsoft (which I think is reasonable), here's my theory: They want you to install the app rather than use the web client, that way they have more access to your phone or computer. This was also seen in Firefox and I haven't bothered trying it on Chromium, so it could potentially also be similar to the "anti-Firefox" tactics that Google likes to use (maybe Microsoft too since their new Edge browser uses Chromium).
This issue seems to be a throwback to MS-DOS. The 'rd' command to remove folders prevented you from removing them without 'del . /s' being run first inside the folder. I think it was to prevent inadvertently deleting a folder full of files. In the world today we have recycle bin and undo, so I'm not sure that reason is valid any more.
TL:DR; asshole design
Ironically, the only time I've ever inadvertently deleted a folder full of files on a cloud storage service is when I was using their desktop app which mounts the cloud account like a drive. Super easy to clean out your account with one of those.