It appears the last update to my Excel365 has added CoPilot.

When I try to open CoPilot, I get a warning that Autosave is switched off and that CoPilot requires it to be switched on. When I select to switch it on, the only location available is OneDrive.

Is it possible to change this to a location locally on my PC?

I have tried the standard instructions below, but it does not work.

File > Options > Save, you can check “Save to Computer by default” and set “Default local file location” to the desired location.