I'm in a similar boat and made comments about it recently. I inherently just don't trust that the data is going to be impervious to some external market force that sinks the company and loses the data. Just look at recent history and how some very very large firms have gone under in a fraction of time .... there is little stopping that happening to datacentre setup.
Whilst I do like to use OneDrive for its integration into windows and as a means to quick access to the same files across multiple devices, I don't view it in any way as a failsafe back up.
I have a NAS drive which keeps a copy of data I want to keep, I'm currently looking at the options around having some physical copy of the data I can store away. BD-R optical may still be my best option. I only really want to store less than 2TB of stuff, so a box full of discs may still be the viable option.