Hi @FlemmingVesterg,
When embedding/adding content from 3rd party apps to modules, Instructure/Canvas does not have any control over what content and controls are actually seen, that's all on the 3rd party. In this case, that would mean Microsoft is responsible for which buttons are available (or not available). We don't have the OneDrive integration at my institution, so I can't say for certainty if there are any settings you can change in the PowerPoint file on OneDrive, but I'd suggest taking a look at sharing permissions just to see if there may be an option there to allow downloads.
Hope this helps a bit!
-Chris