The phishermen are getting smarter, using better lures to catch ever smarter phish (in this case, you, as an Office 365, OneDrive, SharePoint, or Dropbox user).
Why are you emailing your clients weblinks to documents? They’re not supposed to click on unknown links. It’s making them nervous. Even if you’re using popular apps like dropbox to share files, you can’t be sure your client will trust the link. Nor should they. They might think it’s a phishing scheme.