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Thanks for taking the time to explain, guys.

I had no idea that Windows Office offered the ability to open a OneDrive or SharePoint link in app instead of the default in browser.
https://support.microsoft.com/en-gb/office/open-file-links-directly-in-office-desktop-apps-fe241745-9e05-4142-9ba8-1bb1dc044773 "You can change this setting, at any time, in any Microsoft 365 for Windows app by going to File >Options >Advanced >Link Handling."

There doesn't seem to be support for OneNote.
"This feature works for links to Word, Excel, or PowerPoint files, stored on OneDrive or SharePoint, that you click in Word, Excel, Outlook, or PowerPoint for Microsoft 365 on Windows or Mac." Instead, you need to add the "notepad" prefix.

Based on current priorities, I'm unsure when we'll get around to this, but it's a valid ask for the whole office suite. The ability to open all the office apps without traversing through the webapps makes for much more efficient workflows.

(And to clarify, if I paste that same link into Outlook, it DOES open the desktop app, NOT the browser. The key is that the link does NOT start with https://, it starts with onenote:)

The goal is NOT to paste a sharepoint link. The goal is to past a ONENOTE link (using the OneNote: protocol as Ben commented below) and have it open in the Onenote desktop app, NOT the browser.

Right now if I right-click "copy link to page" on a OneNote page, and paste it into Webex as a message, it appears as a hyperlink with the title of the page, but is not clickable because the Onenote: protocol is not recognized by Webex as a valid link. If I use markdown to paste the link, I'll get something like onenote:https://tenant.sharepoint.com/sites/SiteName/Shared%20Documents/Folder%20Name/OneNote%20Notebook%20Name/OneNote%20Notebook%20Title/Section.one#Page%20Name%20&section-id={01AB2234-CCC5-67D7-8890-E1234F567G8H}&page-id={JJK90112-3L45-6MMM-78N9-0P1Q23R45678}&end and that'll get me the browser version but the "onenote:" is ignored. Neither of these is the desired experience. The request is to open the desktop OneNote app to the linked page or section.

If I click on a link in a browser page, OneNote page, Outlook email etc in the format onenote:https://cisco-my.sharepoint.com/personal/bcallina_cisco_com it opens the OneNote object in the desktop app.
If Webex allowed sending of a link in that format then clicking it I believe would open the Webex app.
Right click an object (page, section, notebook, etc) in OneNote desktop and click copy link to... to obtain the link.

What happens when you open a SharePoint link in Outlook?

When I copy a link from Onenote starting with "https://cisco-my.sharepoint.com/personal/bcallina_cisco_com" and past it into Outlook it opens the browser version of OneNote. The issue seems to manifest in Windows apps. ->Probably not possible for us to address?