How to create a hyperlink to a onedrive file or folder without sharing it with anyone - and then use it

The links you copy/paste from your browser's address bar should work just fine, as your experiments have confirmed. If you're not trying to share the content with other people, you don't need to go through the sharing flows. You can just use those URL's.

From within OneNote itself you can also get links to content by right-clicking on a page/section/notebook and clicking 'copy link to page,' 'copy link to section,' etc.