There is a policy rule in place to allow a specific group or user to access Onedrive and/or Sharepoint, but these groups or users are still blocked.

The block page shows the user as "unauthenticated"

The Web Security Service authentication policies prevented OneDrive and SharePoint from functional interactions. To allow for seamless performance, the service bypasses authentication for these two applications. This makes it impossible to apply related policy rules for specific users or groups.

Source: http://portal.threatpulse.com/docs/sol/O365/Office365_ta.htm?cshid=951

Remove any policy rules that block unauthenticated users from Onedrive and/or Sharepoint.