Any problem storing in Onedrive my music collection legally purchased?

Consumer OneDrive? I don't see an issue as long as you've got the available space. Microsoft shouldn't care about the stored contents in such a way, unless you start sharing them and something/someone flags it.

OneDrive for Business/SharePoint Online in an M365 business tenant? Probably fine, but I wouldn't suggest it. That would ultimately be up to your company policy as to what's acceptable to be stored or not in regards to incidental personal use. I know in my organization, I wouldn't care and we wouldn't have policies looking for such data... But if you come to me with a ticket and that personal data is the problem, or you leave the company and forgot to grab it before losing access, you'd be hard-pressed to get any help.

/r/Office365 Thread