If you want to block web access to SharePoint or OneDrive in O365 from unmanaged devices you can now do that with Conditional Access in Intune. From the testing I have been doing latley it has been working well for me. Since I enabled it I havent been able to access the services from devices that are not beeing managed.
The only setting we have right now is to block SharePoint. And by blocking SharePoint, OneDrive will automaticlly be blocked. So if you want to block only OneDrive but not SharePoint there is no way of doing that right now.
And just like OWA the message the end user will get is the following when access is being blocked.