We have enabled the Retention Policy for 7 years via https://protection.office.com/retention recently and found out there are different behavior for OneDrive for Business Web Based version and OneDrive for Desktop Application version.

When an user is trying to delete a folder in OneDrive for Business in Web Based version, it will appears an error message when the "hold" is enabled and this is default behavior until we deleting all the files in this folder.

However, when we tried to delete a folder in OneDrive for Business for Desktop Application, there are no error message appeared when the "hold" is enabled and the deleted files in this folder will automatically moved to Preservation Hold Library.

We have submitted a support ticket to Microsoft Office 365 and unfortunately the support team have no clue why there are different behavior for Retention Policy in OneDrive for Business.