That works for documents you previously opened but not documents just shared. You have to jump through hoops to open them in the native app. Once you do they're in the list but it's frustrating that it won't just do that by default.
Depending on how it is shared, thats not entirely true.
There is a "shared with me" submenu on the main screen of Word / Excel. Things shared with you should show up.
If it got dragged into chat, do you have the option to right click or three dot click and open in desktop app?
In my experience, you never have to open it in the webapp before opening it in the desktop app, if you ask to open in the desktop app or open the desktop app first and then open the file.
