PDF files not part of Office 365
This is working as designed since PDF files are not part of the Office 365 MS app online package. This is why you are being redirected to open PDFs in SharePoint.
The workaround that we have for this is to click back on the directory or path where you were directed on the URL site, then return to the location of the PDF to view the file.
See also:
Salesforce Files Connect
Files Connect FAQ
000380384

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