Hi hannamg,
Welcome to Microsoft Community.
Based on the description, may I confirm if you opened a workbook in SharePoint and click File>Save As>Download a Copy? If so, we did some tests and here are some details for you. If not, please share back with more details about 'save a copy of workbook B onto my desktop' as following details may not be appropriate for your scenario.
What you described is actually a default behavior by design. The key point is you downloaded a copy of a SharePoint file which used to be saved in an online service(SharePoint), but as the downloaded file is saved in your local drive, it lost its connection with the cloud service and also the link to another workbook still saved in SharePoint online will be lost.
The way to keep the connection with online files is to just simply open them from their original file path. Open Excel desktop app first, click File>Open, select the SharePoint site where the file is saved and find it to open.(It will show up automatically in recent section if you edited the workbooks recently.) Then, you can edit it just like in browser with the links to SharePoint files.
For the back up stuff, files saved in SharePoint Online are safe and all the version history will be backed also. See: View the version history of an item or file in a list or library - SharePoint (microsoft.com). So there is no need to worry about it. You can work with online files both in SharePoint and Excel desktop app.
Hope above details could share a bit help for your work. Do feel free to post back if there have anything else I can do for you.
Best Regards,
Mia
